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

   
@article{ECP1620,
	author = {Marjorie Hahn and Jelena Ryvkina and Kei Kobayashi and Sabir Umarov},
	title = {On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations},
	journal = {Electron. Commun. Probab.},
	fjournal = {Electronic Communications in Probability},
	volume = {16},
	year = {2011},
	keywords = {time-change; inverse subordinator; Gaussian process; Fokker-Planck equation; Kolmogorov equation; fractional Brownian motion; time-dependent Hurst parameter; Volterra process},
	abstract = {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.},
	pages = {no. 15, 150-164},
	issn = {1083-589X},
	doi = {10.1214/ECP.v16-1620},    
        url = {http://ecp.ejpecp.org/article/view/1620}}