Fokker-Planck-Kolmogorov equations associated with SDEs driven by time-changed fractional Brownian motion - Mathematical PhysicsReportar como inadecuado




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Abstract: In this paper Fokker-Planck-Kolmogorov type equations associated withstochastic differential equations driven by a time-changed fractional Brownianmotion are derived. Two equivalent forms are suggested. The time-change processconsidered is either the first hitting time process for a stable subordinatoror a mixture of stable subordinators. A family of operators arising in therepresentation of the Fokker-Plank-Kolmogorov equations is shown to have thesemigroup property.



Autor: Marjorie Hahn, Kei Kobayashi, Sabir Umarov

Fuente: https://arxiv.org/







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