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Probability solution for time-fractional Fokker–Planck–Kolmogorov equations with time–space-dependent Lévy measure

Author

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  • Xu, Siyan
  • Zhao, Huiyan

Abstract

In this paper, we consider a class of generalized time-fractional Fokker–Planck–Kolmogorov equations with time–space-dependent Lévy measures, where time–space-dependent Lévy measures contain stable-like Lévy measures as special examples. After that, probability solutions are constructed for such Fokker–Planck–Kolmogorov equations based on the correspondence between the time–space-dependent Lévy measure and its related SDE.

Suggested Citation

  • Xu, Siyan & Zhao, Huiyan, 2025. "Probability solution for time-fractional Fokker–Planck–Kolmogorov equations with time–space-dependent Lévy measure," Statistics & Probability Letters, Elsevier, vol. 223(C).
    • Handle: RePEc:eee:stapro:v:223:y:2025:i:c:s0167715225000720
    DOI: 10.1016/j.spl.2025.110427
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