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arXiv · 1011.2473

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

Marjorie G. Hahn·Kei Kobayashi·Jelena Ryvkina·Sabir Umarov
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Abstract

This paper establishes Fokker-Planck-Kolmogorov type equations for time-changed Gaussian processes. Examples include those equations for a time-changed fractional Brownian motion with time-dependent Hurst parameter and for a time-changed Ornstein-Uhlenbeck process. The time-change process considered is the inverse of either a stable subordinator or a mixture of independent stable subordinators.

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Marjorie G. Hahn, Kei Kobayashi, Jelena Ryvkina, Sabir Umarov. 2010-11-10. On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations. https://arxiv.org/abs/1011.2473

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