FOKKER-PLANCK-KOLMOGOROV EQUATIONS ASSOCIATED WITH TIME-CHANGED FRACTIONAL BROWNIAN MOTION

被引：52
|
作者：
Hahn, Marjorie G. [1 ]
Kobayashi, Kei [1 ]
Umarov, Sabir [1 ]
机构：
[1] Tufts Univ, Dept Math, Medford, MA 02155 USA
来源：
PROCEEDINGS OF THE AMERICAN MATHEMATICAL SOCIETY | 2011年 / 139卷 / 02期
关键词：
Fractional Brownian motion; Fokker-Plank-Kolmogorov equation; governing equation; stable subordinator; time change; RANDOM-WALKS; DIFFUSION; CAUCHY;
D O I：
10.1090/S0002-9939-2010-10527-0
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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 the first hitting time process for either 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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页码：691 / 705
页数：15
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