On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations
Probability
2010-11-11 v1
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.
Keywords
Cite
@article{arxiv.1011.2473,
title = {On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations},
author = {Marjorie G. Hahn and Kei Kobayashi and Jelena Ryvkina and Sabir Umarov},
journal= {arXiv preprint arXiv:1011.2473},
year = {2010}
}
Comments
13 pages