Green function of the double-fractional Fokker-Planck equation: Path integral and stochastic differential equations

H. Kleinert, V. Zatloukal
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