Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
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- by Marjorie G. Hahn, Kei Kobayashi and Sabir Umarov PDF
- Proc. Amer. Math. Soc. 139 (2011), 691-705 Request permission
Abstract:
In this paper Fokker-Planck-Kolmogorov type equations associated with stochastic differential equations driven by a time-changed fractional Brownian motion are derived. Two equivalent forms are suggested. The time-change process considered is the first hitting time process for either a stable subordinator or a mixture of stable subordinators. A family of operators arising in the representation of the Fokker-Plank-Kolmogorov equations is shown to have the semigroup property.References
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Additional Information
- Marjorie G. Hahn
- Affiliation: Department of Mathematics, Tufts University, Medford, Massachusetts 02155
- Email: marjorie.hahn@tufts.edu
- Kei Kobayashi
- Affiliation: Department of Mathematics, Tufts University, Medford, Massachusetts 02155
- Email: kei.kobayashi@tufts.edu
- Sabir Umarov
- Affiliation: Department of Mathematics, Tufts University, Medford, Massachusetts 02155
- Email: sabir.umarov@tufts.edu
- Received by editor(s): February 14, 2010
- Received by editor(s) in revised form: March 19, 2010, and April 5, 2010
- Published electronically: August 5, 2010
- Communicated by: Richard C. Bradley
- © Copyright 2010
American Mathematical Society
The copyright for this article reverts to public domain 28 years after publication. - Journal: Proc. Amer. Math. Soc. 139 (2011), 691-705
- MSC (2010): Primary 60G22, 35Q84
- DOI: https://doi.org/10.1090/S0002-9939-2010-10527-0
- MathSciNet review: 2736349