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- W3039448889 abstract "We consider the fractional Ornstein-Uhlenbeck process, solution of a stochastic differential equation driven by the fractional Brownian motion, and we study its time-changed version, obtained via an inverse $alpha$-stable subordinator. We focus on the convergence of the probability density function as the Hurst index $H to frac{1}{2}$. The generalized fractional Fokker-Planck equation for such process is introduced and the class of subordinated solutions of such equation is studied, providing some uniqueness and isolation results and studying the convergence as $H to frac{1}{2}$." @default.
- W3039448889 created "2020-07-10" @default.
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- W3039448889 date "2020-05-26" @default.
- W3039448889 modified "2023-09-27" @default.
- W3039448889 title "The $alpha$-stable time-changed fractional Ornstein-Uhlenbeck process and its Fokker-Planck equation" @default.
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