Stochastic solution of fractional Fokker–Planck equations with space–time-dependent coefficients

This paper develops solutions of fractional Fokker–Planck equations describing subdiffusion of probability densities of stochastic dynamical systems driven by non-Gaussian Lévy processes, with space–time-dependent drift, diffusion and jump coefficients, thus significantly extends Magdziarz and Zorawik's result in [14]. Fractional Fokker–Planck equation describing subdiffusion is solved by our result in full generality from perspective of stochastic representation.