Itô Formula for Subordinated Langevin Equation. A Case of Time Dependent Force
Abstract
A century after Paul Langevin's landmark paper (1908) we derive here an analog of the Itô formula for subordinated Langevin equation. We show that for any subdiffusion process Yt with time-dependent force its image f(t,Yt) by any function f in C1,2(R+×R) is given again by a stochastic differential equation of Langevin type.
- Publication:
-
Acta Physica Polonica B
- Pub Date:
- May 2009
- Bibcode:
- 2009AcPPB..40.1271W