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First passage times for some classes of fractional time-changed diffusions.
- Source :
-
Stochastic Analysis & Applications . 2022, Vol. 40 Issue 4, p735-763. 29p. - Publication Year :
- 2022
-
Abstract
- We consider some time-changed diffusion processes obtained by applying the Doob transformation rule to a time-changed Brownian motion. The time-change is obtained via the inverse of an α-stable subordinator. These processes are specified in terms of time-changed Gauss-Markov processes and fractional time-changed diffusions. A fractional pseudo-Fokker-Planck equation for such processes is given. We investigate their first passage time densities providing a generalized integral equation they satisfy and some transformation rules. First passage time densities for time-changed Brownian motion and Ornstein-Uhlenbeck processes are provided in several forms. Connections with closed form results and numerical evaluations through the level zero are given. [ABSTRACT FROM AUTHOR]
- Subjects :
- *WIENER processes
*BROWNIAN motion
*GENERALIZED integrals
*INTEGRAL equations
Subjects
Details
- Language :
- English
- ISSN :
- 07362994
- Volume :
- 40
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- Stochastic Analysis & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 157508979
- Full Text :
- https://doi.org/10.1080/07362994.2021.1953386