Derivation of the Fractional <i>Fokker–Planck Equation</i> for Stable Lévy with Financial Applications
This paper aims to propose a generalized fractional <i>Fokker–Planck equation</i> based on a stable Lévy stochastic process. To develop the general fractional equation, we will use the Lévy process rather than the Brownian motion. Due to the Lévy process, this fractional equation can pro...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-02-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/5/1102 |