Leonenko, Nikolai ORCID: https://orcid.org/0000-0003-1932-4091 and Pirozzi, Enrica 2022. First passage times for some classes of fractional time-changed diffusions. Stochastic Analysis and Applications 40 (4) , pp. 735-763. 10.1080/07362994.2021.1953386 |
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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.
Item Type: | Article |
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Date Type: | Publication |
Status: | Published |
Schools: | Mathematics |
Publisher: | Taylor and Francis |
ISSN: | 0736-2994 |
Date of First Compliant Deposit: | 2 August 2021 |
Date of Acceptance: | 3 July 2021 |
Last Modified: | 29 Nov 2024 16:15 |
URI: | https://orca.cardiff.ac.uk/id/eprint/143088 |
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