The Fokker–Planck equation for the time-changed fractional Ornstein–Uhlenbeck stochastic process

DOI10.1017/prm.2021.45zbMath1500.60020arXiv2005.12628OpenAlexW3199031541MaRDI QIDQ5094465

Giacomo Ascione, Enrica Pirozzi, Yuliya S. Mishura

Publication date: 3 August 2022

Published in: Proceedings of the Royal Society of Edinburgh: Section A Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2005.12628

zbMATH Keywords

fractional Brownian motionBernstein functionsinverse subordinatorgeneralized Fokker-Planck equationCaputo-type derivative

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

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