ON TIME-CHANGED GAUSSIAN PROCESSES AND THEIR ASSOCIATED FOKKER-PLANCK-KOLMOGOROV EQUATIONS

被引：17

作者：

Hahn, Marjorie G. ^{[1
]}

Kobayashi, Kei ^{[1
]}

Ryvkina, Jelena ^{[1
]}

Umarov, Sabir ^{[1
]}

机构：

[1] Tufts Univ, Dept Math, Medford, MA 02155 USA

来源：

ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2011年 / 16卷

关键词：

time-change; inverse subordinator; Gaussian process; Fokker-Planck equation; Kolmogorov equation; fractional Brownian motion; time-dependent Hurst parameter; Volterra process; RANDOM-WALKS; DIFFUSION; CALCULUS; RESPECT; CAUCHY;

D O I：

10.1214/ECP.v16-1620

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper establishes Fokker-Planck-Kolmogorov type equations for time-changed Gaussian processes. Examples include those equations for a time-changed fractional Brownian motion with time-dependent Hurst parameter and for a time-changed Ornstein-Uhlenbeck process. The time-change process considered is the inverse of either a stable subordinator or a mixture of independent stable subordinators.

引用

页码：150 / 164

页数：15

共 38 条

[1] Stochastic calculus with respect to Gaussian processes [J].