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

页码：450 / 483

页数：34

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