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Non-Analytic Solution to the Fokker-Planck Equation of Fractional Brownian Motion via Laplace Transforms. (arXiv:1704.00256v1 [math.AP])

This paper derives the non-analytic solution to the Fokker-Planck equation of fractional Brownian motion using the method of Laplace transform. Sequentially, by considering the fundamental solution of the non-analytic solution, this paper obtains the transition probability density function of the random variable that is described by the It\^o's stochastic ordinary differential equation of fractional Brownian motion. Furthermore, this paper applies the derived transition probability density function to the Cox-Ingersoll-Ross model governed by the fractional Brownian motion instead of the usual Brownian motion.


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