The Fokker-Planck equation for the time-changed fractional Ornstein-Uhlenbeck stochastic process
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Publication:5094465
DOI10.1017/PRM.2021.45zbMATH Open1500.60020arXiv2005.12628OpenAlexW3199031541MaRDI QIDQ5094465FDOQ5094465
Authors: Giacomo Ascione, Enrica Pirozzi, Yuliya S. Mishura 
Publication date: 3 August 2022
Published in: Proceedings of the Royal Society of Edinburgh: Section A Mathematics (Search for Journal in Brave)
Abstract: In this paper we study some properties of the generalized Fokker-Planck equation induced by the time-changed fractional Ornstein-Uhlenbeck process. First of all, we exploit some sufficient conditions to show that a mild solution of such equation is actually a classical solution. Then we discuss an isolation result for mild solutions. Finally, we prove the weak maximum principle for strong solutions of the aforementioned equation and then a uniqueness result.
Full work available at URL: https://arxiv.org/abs/2005.12628
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