FOKKER-PLANCK-KOLMOGOROV EQUATIONS ASSOCIATED WITH TIME-CHANGED FRACTIONAL BROWNIAN MOTION
FOKKER-PLANCK-KOLMOGOROV EQUATIONS ASSOCIATED WITH TIME-CHANGED FRACTIONAL BROWNIAN MOTION
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DOI：
10.1090/s0002-9939-2010-10527-0
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发表时间：
2011-02-01
影响因子：
1
通讯作者：
Umarov, Sabir
中科院分区：
文献类型：
--
作者：
Hahn, Marjorie G.;Kobayashi, Kei;Umarov, Sabir
本文导出了由时变分数布朗运动驱动的随机微分方程组的Fokker-Planck-Kolmogorov型方程。提出了两种等价形式。所考虑的时变过程是稳定从属或混合稳定从属的第一个命中时间过程。证明了在Fokker-Plank-Kolmogorov方程表示中出现的一族算子具有半群性。
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.