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The Fokker–Planck equation for the time-changed fractional Ornstein–Uhlenbeck stochastic process
Published online by Cambridge University Press: 21 September 2021
Abstract
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.
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- Research Article
- Information
- Proceedings of the Royal Society of Edinburgh Section A: Mathematics , Volume 152 , Issue 4 , August 2022 , pp. 1032 - 1057
- Copyright
- Copyright © The Author(s), 2021. Published by Cambridge University Press on behalf of The Royal Society of Edinburgh