TIME-CHANGED FRACTIONAL ORNSTEIN-UHLENBECK PROCESS

被引：9
|
作者：
Ascione, Giacomo [1 ]
Mishura, Yuliya [2 ]
Pirozzi, Enrica [1 ]
机构：
[1] Univ Napoli Federico II, Dipartimento Matemat & Applicaz Renato Caccioppol, Via Cintia, I-80126 Naples, Italy
[2] Taras Shevchenko Natl Univ Kyiv, Dept Probabil Theory Stat & Actuarial Math, Volodymyrska 64, UA-01601 Kiev, Ukraine
来源：
FRACTIONAL CALCULUS AND APPLIED ANALYSIS | 2020年 / 23卷 / 02期
关键词：
subordinator; generalized Caputo derivative; fractional Brownian motion; time-changed process; generalized Fokker-Planck equation; REPRODUCE SPIKING STATISTICS; BROWNIAN-MOTION; PARAMETER-ESTIMATION; EQUATIONS; OPTION;
D O I：
10.1515/fca-2020-0022
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
引用
收藏
页码：450 / 483
页数：34
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