The fbm-driven ornstein-uhlenbeck process: Probability density function and anomalous diffusion

Abstract

This paper deals with the Ornstein-Uhlenbeck (O-U) process driven by the fractional Brownian motion (fBm). Based on the fractional It̂o formula, we present the corresponding fBm-driven Fokker-Planck equation for the nonlinear stochastic differential equations driven by an fBm. We then apply it to establish the evolution of the probability density function (PDF) of the fBm-driven O-U process. We further obtain the closed form of such PDF by combining the Fourier transform and the method of characteristics. Interestingly, the obtained PDF has an infinite variance which is significantly different from the classical O-U process. We reveal that the fBm-driven O-U process can describe the heavy-tailedness or anomalous diffusion. Moreover, the speed of the sub-diffusion is inversely proportional to the viscosity coefficient, while is proportional to the Hurst parameter. Finally, we carry out numerical simulations to verify the above findings. © 2012 Diogenes Co., Sofia.