On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations
نویسندگان
چکیده
منابع مشابه
On Time-changed Gaussian Processes and Their Associated Fokker–planck– Kolmogorov Equations
This paper establishes Fokker–Planck–Kolmogorov type equations for time-changed Gaussian processes. Examples include those equations for a time-changed fractional Brownian motion with time-dependent Hurst parameter and for a time-changed Ornstein–Uhlenbeck process. The timechange process considered is the inverse of either a stable subordinator or a mixture of independent stable subordinators.
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ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2011
ISSN: 1083-589X
DOI: 10.1214/ecp.v16-1620