Time-changed fractional Ornstein-Uhlenbeck process

DOI10.1515/fca-2020-0022zbMath1450.60030arXiv1907.04847OpenAlexW2960531056MaRDI QIDQ2197307

Enrica Pirozzi, Yuliya S. Mishura, Giacomo Ascione

Publication date: 31 August 2020

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.04847

zbMATH Keywords

fractional Brownian motionsubordinatorgeneralized Fokker-Planck equationtime-changed processgeneralized Caputo derivative

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Fractional derivatives and integrals (26A33) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Fokker-Planck equations (35Q84)

Related Items (6)

Asymptotic behaviour and functional limit theorems for a time changed Wiener process ⋮ First passage times for some classes of fractional time-changed diffusions ⋮ The Fokker–Planck equation for the time-changed fractional Ornstein–Uhlenbeck stochastic process ⋮ Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes ⋮ Subordination principle and Feynman-Kac formulae for generalized time-fractional evolution equations ⋮ Stochastic solutions of generalized time-fractional evolution equations

Uses Software

• YUIMA

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