Time-changed fractional Ornstein-Uhlenbeck process

DOI10.1515/FCA-2020-0022zbMATH Open1450.60030arXiv1907.04847OpenAlexW2960531056MaRDI QIDQ2197307FDOQ2197307

Authors: Enrica Pirozzi, Giacomo Ascione, Yuliya S. Mishura 

Publication date: 31 August 2020

Published in: Fractional Calculus \ Applied Analysis (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1907.04847

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zbMATH Keywords

fractional Brownian motionsubordinatorgeneralized Fokker-Planck equationtime-changed processgeneralized Caputo derivative

Mathematics Subject Classification ID

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)

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Cited In (9)

• The Fokker–Planck equation for the time-changed fractional Ornstein–Uhlenbeck stochastic process
• Subordination principle and Feynman-Kac formulae for generalized time-fractional evolution equations
• Fractional Brownian motion time-changed by gamma and inverse gamma process
• On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations
• A review of stochastic models of neuronal dynamics: from a single neuron to networks
• Asymptotic behaviour and functional limit theorems for a time changed Wiener process
• Stochastic solutions of generalized time-fractional evolution equations
• First passage times for some classes of fractional time-changed diffusions
• Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes

Uses Software

• YUIMA

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