By the method of eigenfunction expansion, we study the linear response to a time-dependent external field for stochastic systems described by the one-dimensional subdiffusive fractional Fokker–Planck equation with a general confining potential and natural boundary conditions; an expression for...

We study the dynamics of stochastic systems obeying the one-dimensional diffusive Fokker–Planck equation (FPE), as well as systems described by the subdiffusive fractional Fokker–Planck equation (SFFPE), with a confining potential U(x) and in the presence of delta-function sinks. For the...

We study normal and anomalous diffusion processes with initial conditions of the broad Lévy type, i.e., with such initial conditions which, per se, exhibit a diverging variance. In the force-free case, the behaviour of the associated probability density function features distinct shoulders...

We consider the linear response of systems modelled by continuous-time random walks (CTRW) and by fractional Fokker–Planck equations under the influence of time-dependent external fields. We calculate the corresponding response functions explicitly. The CTRW curve exhibits aging, i.e., it is...

In this paper we consider a generalization of one of the earliest models of an asset price, namely the Black–Scholes model, which captures the subdiffusive nature of an asset price dynamics. We introduce the geometric Brownian motion time-changed by infinitely divisible inverse subordinators,...

The probability density function of the response of a nonlinear system under external α-stable Lévy white noise is ruled by the so called Fractional Fokker–Planck equation. In such equation the diffusive term is the Riesz fractional derivative of the probability density function of the...

From the generalized scheme of random walks on the comb-like structure, one can obtain the fractional Fokker–Planck equation in the domain of fractal time evolution with critical exponent β(0β⩽1). The operator method for the moments associated with the density p(x,t) is used to solve the...

We study properties of parameter-induced aperiodic stochastic resonance in the presence of asymmetric Lévy noise. The system performance is characterized by the bit error rate. Investigations are based on the numerical solution of the space-fractional Fokker–Planck equation and Monte Carlo...

The role of Lévy flights on fluctuation-driven transport in time independent periodic potentials with broken spatial symmetry is studied. Two complementary approaches are followed. The first one is based on a generalized Langevin model describing overdamped dynamics in a ratchet type external...