Time-changed fractional Ornstein-Uhlenbeck process
Probability
2020-04-30 v2
Abstract
We define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the density is shown. We also provide a generalized Fokker-Planck equation for the density of the process.
Cite
@article{arxiv.1907.04847,
title = {Time-changed fractional Ornstein-Uhlenbeck process},
author = {Giacomo Ascione and Yuliya Mishura and Enrica Pirozzi},
journal= {arXiv preprint arXiv:1907.04847},
year = {2020}
}
Comments
27 pages