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Fractional backward Kolmogorov equations

Fractional backward Kolmogorov equations
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摘要 This paper derives the fractional backward Kolmogorov equations in fractal space-time based on the construction of a model for dynamic trajectories. It shows that for the type of fractional backward Kolmogorov equation in the fractal time whose coefficient functions are independent of time, its solution is equal to the transfer probability density function of the subordinated process X(Sα (t)), the subordinator Sα (t) is termed as the inverse-time a-stable subordinator and the process X(τ) satisfies the corresponding time homogeneous Ito stochastic differential equation. This paper derives the fractional backward Kolmogorov equations in fractal space-time based on the construction of a model for dynamic trajectories. It shows that for the type of fractional backward Kolmogorov equation in the fractal time whose coefficient functions are independent of time, its solution is equal to the transfer probability density function of the subordinated process X(Sα (t)), the subordinator Sα (t) is termed as the inverse-time a-stable subordinator and the process X(τ) satisfies the corresponding time homogeneous Ito stochastic differential equation.
机构地区 College of Mathematics
出处 《Chinese Physics B》 SCIE EI CAS CSCD 2012年第6期1-5,共5页 中国物理B(英文版)
基金 Project supported by the National Natural Science Foundation of China (Grant No. 11171238)
关键词 anomalous diffusive fractional backward Kolmogorov equations subordinated process anomalous diffusive, fractional backward Kolmogorov equations, subordinated process
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参考文献17

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