Fokker-Planck-Kolmogorov equations associated with SDEs driven by time-changed fractional Brownian motion

Details Fokker-Planck-Kolmogorov equations associated with SDEs driven by time-changed fractional Brownian motion Fokker-Planck-Kolmogorov equations associated with SDEs driven by time-changed fractional Brownian motion

2010-02-07

arxiv.org/abs/1002.1494v1

Physics

Mathematical Physics

16 pages

Scientific paper

10.1090/S0002-9939-2010-10527-0

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 either the first hitting time process for 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.

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