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
The usual derivation of the Fokker-Planck partial differential eqn. (pde) assumes the Chapman-Kolmog...
In this paper, we present a study of anomalous diffusion using a Fokker-Planck description with frac...
Three types of stochastic partial differential equations are studied in this dissertation. We prove ...
In this paper we present a study of anomalous diffusion using a Fokker-Planck description with fract...
The Wiener's path integral plays a central role in the studies of Brownian motion. Here we derive ex...
(From the publisher): The book is devoted to the fundamental relationship between three objects: a s...
Nonlinear diffusions on bounded intervals perturbed by gaussian white noise are considered. Terms in...
A stochastic process or sometimes called random process is the counterpart to a deterministic proces...
MSC 2010: 26A33, 35R11, 35R60, 35Q84, 60H10 Dedicated to 80-th anniversary of Professor Rudolf Goren...
Many complex phenomena occurring in physics, chemistry, biology, finance, etc can be reduced, by som...
Models written in terms of stochastic delay differential equations (SDDE's) have recently appeared i...
Many engineering and scientific applications necessitate the estimation of statistics of various fun...
The population growth of a single species is modeled by a differential equation with initial conditi...
We show that the increments of generalized Wiener process, useful to describe non-Gaussian white noi...
We show by explicit closed form calculations that a Hurst exponent H≠1/2 does not necessarily imply ...
The usual derivation of the Fokker-Planck partial differential eqn. (pde) assumes the Chapman-Kolmog...
In this paper, we present a study of anomalous diffusion using a Fokker-Planck description with frac...
Three types of stochastic partial differential equations are studied in this dissertation. We prove ...
In this paper we present a study of anomalous diffusion using a Fokker-Planck description with fract...
The Wiener's path integral plays a central role in the studies of Brownian motion. Here we derive ex...
(From the publisher): The book is devoted to the fundamental relationship between three objects: a s...
Nonlinear diffusions on bounded intervals perturbed by gaussian white noise are considered. Terms in...
A stochastic process or sometimes called random process is the counterpart to a deterministic proces...
MSC 2010: 26A33, 35R11, 35R60, 35Q84, 60H10 Dedicated to 80-th anniversary of Professor Rudolf Goren...
Many complex phenomena occurring in physics, chemistry, biology, finance, etc can be reduced, by som...
Models written in terms of stochastic delay differential equations (SDDE's) have recently appeared i...
Many engineering and scientific applications necessitate the estimation of statistics of various fun...
The population growth of a single species is modeled by a differential equation with initial conditi...
We show that the increments of generalized Wiener process, useful to describe non-Gaussian white noi...
We show by explicit closed form calculations that a Hurst exponent H≠1/2 does not necessarily imply ...
The usual derivation of the Fokker-Planck partial differential eqn. (pde) assumes the Chapman-Kolmog...
In this paper, we present a study of anomalous diffusion using a Fokker-Planck description with frac...
Three types of stochastic partial differential equations are studied in this dissertation. We prove ...
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