Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
- Autores: Marjorie G. Hahn, K. Kobayashi, Sabir Umarov
- Localización: Proceedings of the American Mathematical Society, ISSN 0002-9939, Vol. 139, Nº 2, 2011, págs. 691-705
- Idioma: inglés
- DOI: 10.1090/s0002-9939-2010-10527-0
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Resumen
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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