SPEAKER: Prof. Kei Kobayashi, UTK
TITLE: SDEs driven by time-changed Levy processes and associated time-fractional
order Kolmogorov equations
ABSTRACT: It is known that if a stochastic process is a solution to a classical Ito SDE, then its transition probabilities satisfy in the weak sense the associated forward Kolmogorov or Fokker-Planck equation. In many applications, however, Kolmogorov-type equations with fractional derivatives in time are used to model anomalous subdiffusions. In this talk, we will see a class of time-fractional order or more general time-distributed order equations that are associated with SDEs driven by time-changed Levy processes, where the time-change is given respectively by the inverse of a single or mixture of independent stable subordinators.
Monday, 23 September, 2013
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