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Green function of the double-fractional Fokker-Planck equation: Path integral and stochastic differential equations
2013
Physical Review E
The statistics of rare events, the so-called black-swan events, is governed by non-Gaussian distributions with heavy power-like tails. We calculate the Green functions of the associated Fokker-Planck equations and solve the related stochastic differential equations. We also discuss the subject in the framework of path integration.
doi:10.1103/physreve.88.052106
pmid:24329213
fatcat:u6xhgmy2w5ejdf3innqosjpnyu