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Fokker–Planck equation for Feynman–Kac transform of anomalous processes

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  • Zhang, Shuaiqi
  • Chen, Zhen-Qing

Abstract

In this paper, we develop a novel and rigorous approach to the Fokker–Planck equation, or Kolmogorov forward equation, for the Feynman–Kac transform of non-Markov anomalous processes. The equation describes the evolution of the density of the anomalous process Yt=XEt under the influence of potentials, where X is a strong Markov process on a Lusin space X that is in weak duality with another strong Markov process X̂ on X and {Et,t≥0} is the inverse of a driftless subordinator S that is independent of X and has infinite Lévy measure. We derive a probabilistic representation of the density of the anomalous process under the Feynman–Kac transform by the dual Feynman–Kac transform in terms of the weak dual process X̂t and the inverse subordinator {Et;t≥0}. We then establish the regularity of the density function, and show that it is the unique mild solution as well as the unique weak solution of a non-local Fokker–Planck equation that involves the dual generator of X and the potential measure of the subordinator S. During the course of the study, we are naturally led to extend the notation of Riemann–Liouville integral to measures that are locally finite on [0,∞).

Suggested Citation

  • Zhang, Shuaiqi & Chen, Zhen-Qing, 2022. "Fokker–Planck equation for Feynman–Kac transform of anomalous processes," Stochastic Processes and their Applications, Elsevier, vol. 147(C), pages 300-326.
  • Handle: RePEc:eee:spapps:v:147:y:2022:i:c:p:300-326
    DOI: 10.1016/j.spa.2022.01.017
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    References listed on IDEAS

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    1. Du, Qiang & Toniazzi, Lorenzo & Zhou, Zhi, 2020. "Stochastic representation of solution to nonlocal-in-time diffusion," Stochastic Processes and their Applications, Elsevier, vol. 130(4), pages 2058-2085.
    2. Chen, Zhen-Qing, 2017. "Time fractional equations and probabilistic representation," Chaos, Solitons & Fractals, Elsevier, vol. 102(C), pages 168-174.
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