120 citations · 305 across the 23 of their papers we have counts for
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math.PR2009★ 52 cited
SDEs driven by a time-changed Lévy process and their associated time-fractional order pseudo-differential equations
Marjorie G. Hahn, Kei Kobayashi, Sabir Umarov
It is known that the transition probabilities of a solution to a classical Itô stochastic differential equation (SDE) satisfy in the weak sense the associated Kolmogorov equation.…
math.PR2009★ 120 cited
Stochastic Calculus for a Time-changed Semimartingale and the Associated Stochastic Differential Equations
Kei Kobayashi
It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic int…