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arXiv · 1907.04847

Time-changed fractional Ornstein-Uhlenbeck process

Giacomo Ascione·Yuliya Mishura·Enrica Pirozzi
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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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Giacomo Ascione, Yuliya Mishura, Enrica Pirozzi. 2019-07-10. Time-changed fractional Ornstein-Uhlenbeck process. https://doi.org/10.1515/fca-2020-0022

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