Fokker–Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes

Janusz Gajda and Agnieszka Wyłomańska

Physica A: Statistical Mechanics and its Applications, 2014, vol. 405, issue C, 104-113

Abstract: In this paper we study the anomalous diffusion process driven by fractional Brownian motion delayed by general infinitely divisible subordinator. We show the analyzed process is the stochastic representation of the Fokker–Planck type equation that describes the probability density function of an introduced model. Moreover, we study main characteristics of the examined process, the first two moments, that allow us in special cases for classification of it as a system with accelerating-subdiffusion property.

Keywords: Subordination; Fractional Brownian motion; Fokker–Planck equations; Accelerating-subdiffusion (search for similar items in EconPapers)
Date: 2014
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:405:y:2014:i:c:p:104-113

DOI: 10.1016/j.physa.2014.03.016

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