Fractional backward Kolmogorov equations

Hong Zhang, Guo-Hua Li, Mao-Kang Luo
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 )
more » ... process X(τ ) satisfies the corresponding time homogeneous Itô stochastic differential equation.
doi:10.1088/1674-1056/21/6/060201 fatcat:avsbkjq435bt5cpd2j2uegiyoi