Time-changed fractional Ornstein-Uhlenbeck process
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Publication:2197307
fractional Brownian motionsubordinatorgeneralized Fokker-Planck equationtime-changed processgeneralized Caputo derivative
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional derivatives and integrals (26A33) Fokker-Planck equations (35Q84) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
Abstract: 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.
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Cited in
(11)- Fractional Brownian motion time-changed by gamma and inverse gamma process
- Subordination principle and Feynman-Kac formulae for generalized time-fractional evolution equations
- On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations
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- Asymptotic behaviour and functional limit theorems for a time changed Wiener process
- Stochastic solutions of generalized time-fractional evolution equations
- Time-changed Ornstein-Uhlenbeck process
- First passage times for some classes of fractional time-changed diffusions
- Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes
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