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

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 Y_t=X_Et 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 {E_t,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 X̂_t and the inverse subordinator {E_t;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,∞).