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.
Time-changed fractional Ornstein-Uhlenbeck process / Ascione, G.; Mishura, Y.; Pirozzi, E.. - In: FRACTIONAL CALCULUS & APPLIED ANALYSIS. - ISSN 1314-2224. - 23:2(2020), pp. 450-483. [10.1515/fca-2020-0022]
Time-changed fractional Ornstein-Uhlenbeck process
Ascione G.;Mishura Y.;Pirozzi E.
2020
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.File in questo prodotto:
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