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2011 On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations
Marjorie Hahn, Jelena Ryvkina, Kei Kobayashi, Sabir Umarov
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Electron. Commun. Probab. 16: 150-164 (2011). DOI: 10.1214/ECP.v16-1620

Abstract

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 time-change process considered is the inverse of either a stable subordinator or a mixture of independent stable subordinators.

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Marjorie Hahn. Jelena Ryvkina. Kei Kobayashi. Sabir Umarov. "On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations." Electron. Commun. Probab. 16 150 - 164, 2011. https://doi.org/10.1214/ECP.v16-1620

Information

Accepted: 17 March 2011; Published: 2011
First available in Project Euclid: 7 June 2016

zbMATH: 1231.60029
MathSciNet: MR2783336
Digital Object Identifier: 10.1214/ECP.v16-1620

Subjects:
Primary: 60G15
Secondary: 35Q84, 60G22

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