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Fractional backward Kolmogorov equations
2012
Chinese Physics B
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 α-stable subordinator and the process X(τ )
doi:10.1088/1674-1056/21/6/060201
fatcat:avsbkjq435bt5cpd2j2uegiyoi