A Fokker–Planck equation of fractional order with respect to time
- 1 October 1992
- journal article
- research article
- Published by AIP Publishing in Journal of Mathematical Physics
- Vol. 33 (10), 3536-3542
- https://doi.org/10.1063/1.529903
Abstract
By combining the maximum entropy principle with some considerations related to derivatives of fractional order, one is led to suggest a Fokker–Planck of fractional order with respect to time, which could be related to dynamical systems subject to fractional Brownian motion. The relation with the process associated with the equation ∂p/∂t=(−1) n+1∂2n p/∂x 2n is exhibited.This publication has 5 references indexed in Scilit:
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