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

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 timechange process considered is the inverse of either a stable subordinator or a mixture of independent stable subordinators. © 2011 Association for Symbolic Logic.