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arXiv · 1002.1494

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

Marjorie Hahn·Kei Kobayashi·Sabir Umarov
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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 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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Marjorie Hahn, Kei Kobayashi, Sabir Umarov. 2010-02-07. Fokker-Planck-Kolmogorov equations associated with SDEs driven by time-changed fractional Brownian motion. https://doi.org/10.1090/s0002-9939-2010-10527-0

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