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arXiv · 1503.01667

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

H. Kleinert·V. Zatloukal
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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.

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BibTeXRIS

H. Kleinert, V. Zatloukal. 2015-03-05. Green function of the double fractional Fokker-Planck equation: Path integral and stochastic differential equations. https://doi.org/10.1103/physreve.88.052106

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