The Fokker-Planck equation for the time-changed fractional Ornstein-Uhlenbeck process
| Autor: | Ascione, Giacomo, Mishura, Yuliya, Pirozzi, Enrica |
|---|---|
| Rok vydání: | 2020 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | In this paper we study some properties of the generalized Fokker-Planck equation induced by the time-changed fractional Ornstein-Uhlenbeck process. First of all, we exploit some sufficient conditions to show that a mild solution of such equation is actually a classical solution. Then we discuss an isolation result for mild solutions. Finally, we prove the weak maximum principle for strong solutions of the aforementioned equation and then a uniqueness result. Comment: 23 pages |
| Databáze: | arXiv |
| Externí odkaz: |
|