Beyond the Triangle: Brownian Motion, Ito Calculus, and Fokker-Planck Equation - Fractional Generalizations

by Sabir Umarov, Kei Kobayashi, Marjorie Hahn

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, where the driving process represents a time-changed stochastic process; the Fokker-Planck-Kolmogorov equation involves time-fractional order derivatives...

• Format: Hardcover
• Language: English
• ISBN: 9813230916
• ISBN13: 9789813230910
• Release Date: April 2018
• Publisher: World Scientific Publishing Company
• Length: 192 Pages
• Weight: 1.12 lbs.
• Dimensions: 0.5" x 6.7" x 9.6"