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Description of  Beyond the Triangle: Brownian Motion, Ito Calculus, and Fokker-Planck Equation - Fractional Generalizations

The book is devoted to the fundamental relationship between three objects: a stochastic process, stochastic differential equations driven by that process and their associated FokkerPlanckKolmogorov equations. This book discusses wide fractional generalizations of this fundamental triple relationship, where the driving process represents a time-changed stochastic process the FokkerPlanckKolmogorov equation involves time-fractional order derivatives and spatial pseudo-differential operators and the associated stochastic differential equation describes the stochastic behavior of the solution process. It contains recent results obtained in this direction. Read more