On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations

DOI10.1214/ECP.V16-1620zbMath1231.60029arXiv1011.2473MaRDI QIDQ638258

Kei Kobayashi, Jelena Ryvkina, Marjorie G. Hahn, Sabir R. Umarov

Publication date: 9 September 2011

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.2473

zbMATH Keywords

Fokker-Planck equationfractional Brownian motionGaussian processKolmogorov equationinverse subordinatortime-changetime-dependent Hurst parameterVolterra process

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Fokker-Planck equations (35Q84)

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