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

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

2010-11-10

arxiv.org/abs/1011.2473v1

Mathematics

Probability

13 pages

Scientific paper

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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