Brownian Motion, Ito Calculus, and FokkerPlanck Equation — Fractional Generalizations
by
Sabir Umarov, Marjorie Hahn, Kei Kobayashi
Language: English
Release Date: February 12, 2018
The book is devoted to the fundamental relationship between three objects: a stochastic process, stochastic differential equations driven by that process and their associated Fokker–Planck–Kolmogorov equations. This book discusses wide fractional generalizations of this fundamental triple relationship,...