Some Large Deviations Principles for Time-Changed Gaussian Processes
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DOI: 10.1007/s10986-020-09494-6
Abstract: LetX= (X(t))(t >= 0)(X(0) = 0) be a continuous centered Gaussian process on a probability space (omega,F,P), and let (Y-t)(t is an element of)[0,1] (Y-0= 0) be a continuous process (on the same probability space)… read more here.
Keywords: time changed; changed gaussian; gaussian processes; deviations principles ... See more keywords
BSDEs driven by time-changed Lévy noises with non-Lipschitz generators
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2017.1414263
Abstract: ABSTRACT This paper deals with a class of backward stochastic differential equations (BSDEs for short) driven by time-changed Lévy noises. The existence and uniqueness of Lp(p ⩾ 2) solutions for this kind of BSDEs with… read more here.
Keywords: time changed; changed noises; lipschitz generators; non lipschitz ... See more keywords
First passage times for some classes of fractional time-changed diffusions
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DOI: 10.1080/07362994.2021.1953386
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… read more here.
Keywords: time changed; time; fractional time; first passage ... See more keywords