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math.PR2020★ 5 cited
Time fractional stochastic differential equations driven by pure jump Lévy noise
Peixue Wu, Zhiwei Yang, Hong Wang +1
In this paper we introduce a variable order time fractional differential equation driven by pure jump Lévy noise, which models the motion of a particle exhibiting memory effect. We…
math.PR2019
Stable Lévy diffusion and related model fitting
Paramita Chakraborty, Xu Guo, Hong Wang
A fractional advection-dispersion equation (fADE) has been advocated for heavy-tailed flows where the usual Brownian diffusion models fail. A stochastic differential equation (SDE)…