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

Abstract

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.

arXiv admin note: text overlap with arXiv:1210.2630

References in corpus (2)

• Fractional Quantum Mechanics
• Fractional Fokker-Planck equation for Lévy flights in nonhomogeneous environments

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