56 citations · 147 across the 4 of their papers we have counts for
4 papers
On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations
Marjorie G. Hahn, Kei Kobayashi, Jelena Ryvkina +1
This paper establishes Fokker-Planck-Kolmogorov type equations for time-changed Gaussian processes. Examples include those equations for a time-changed fractional Brownian motion w…
Fokker-Planck-Kolmogorov equations associated with SDEs driven by time-changed fractional Brownian motion
Marjorie Hahn, Kei Kobayashi, Sabir Umarov
In this paper Fokker-Planck-Kolmogorov type equations associated with stochastic differential equations driven by a time-changed fractional Brownian motion are derived. Two equival…
On q-Gaussians and Exchangeability
Marjorie G. Hahn, Xinxin Jiang, Sabir Umarov
The q-Gaussians are discussed from the point of view of variance mixtures of normals and exchangeability. For each q< 3, there is a q-Gaussian distribution that maximizes the Tsall…
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.…