Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion

DOI10.1090/S0002-9939-2010-10527-0zbMath1218.60030arXiv1002.1494MaRDI QIDQ3082335

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

Publication date: 10 March 2011

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1002.1494

zbMATH Keywords

fractional Brownian motion time change governing equation stable subordinator Fokker-Plank-Kolmogorov equation

Mathematics Subject Classification ID

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

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Cites Work