2020/05/26 by Giacomo Ascione, Ascione, Giacomo, Yuliya Mishura +3
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Fractional Differential Equations Solutions #Probability (math.PR) #Statistical Distribution Estimation and Applications #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2005.12628
openalex publication_date 2020/05/26 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.