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


 
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1. Title Title of document On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations
 
2. Creator Author's name, affiliation, country Marjorie G Hahn; Tufts University
 
2. Creator Author's name, affiliation, country Jelena Ryvkina; Tufts University
 
2. Creator Author's name, affiliation, country Kei Kobayashi; Tufts University
 
2. Creator Author's name, affiliation, country Sabir Umarov; Tufts University
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) time-change; inverse subordinator; Gaussian process; Fokker-Planck equation; Kolmogorov equation; fractional Brownian motion; time-dependent Hurst parameter; Volterra process
 
3. Subject Subject classification 60G15; 35Q84; 60G22
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2011-03-17
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1620
 
10. Identifier Digital Object Identifier 10.1214/ECP.v16-1620
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 16
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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