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Time-changed fractional Ornstein-Uhlenbeck process

Published 10 Jul 2019 in math.PR | (1907.04847v2)

Abstract: We define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the density is shown. We also provide a generalized Fokker-Planck equation for the density of the process.

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