Time-changed fractional Ornstein-Uhlenbeck process-Reference-Cited by-同舟云学术

Time-changed fractional Ornstein-Uhlenbeck process

Published:2020-04-01 Issue:2 Volume:23 Page:450-483
ISSN:1314-2224
Container-title:Fractional Calculus and Applied Analysis
language:en
Short-container-title:

Author:

Ascione Giacomo¹,Mishura Yuliya²,Pirozzi Enrica¹

Affiliation:

1. Dipartimento di Matematica e Applicazioni “Renato Caccioppoli” , Universitá degli Studi di Napoli Federico II , Via Cintia, Monte S. Angelo I–80126 , Napoli , Italy

2. Department of Probability Theory, Statistics and Actuarial Mathematics , Taras Shevchenko National University of Kyiv , Volodymyrska 64 , Kyiv , 01601 , Ukraine

Abstract

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.

Publisher

Walter de Gruyter GmbH

Subject

Applied Mathematics,Analysis

Link

https://www.degruyter.com/document/doi/10.1515/fca-2020-0022/pdf

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