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Adopting Feynman–Kac Formula in Stochastic Differential Equations with (Sub-)Fractional Brownian Motion

The aim of this work is to establish and generalize a relationship between fractional partial differential equations (fPDEs) and stochastic differential equations (SDEs) to a wider class of stochastic processes, including fractional Brownian motions <inline-formula><math xmlns="http://www.w3.org/199...

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Hovedforfatter: Bodo Herzog
Format: Artigo
Sprog:Inglês
Udgivet: MDPI AG 2022-01-01
Serier:Mathematics
Fag:
Cauchy problem
fractional-PDE
SDE
fractional Brownian motion
sub-fractional processes
Feynman–Kac formula
Online adgang:https://www.mdpi.com/2227-7390/10/3/340
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