First passage times for some classes of fractional time-changed diffusions

Abstract

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 of time-changed Gauss-Markov processes and fractional time-changed diffusions. A fractional pseudo-Fokker-Planck equation for such processes is given. We investigate their first passage time densities providing a generalized integral equation they satisfy and some transformation rules. First passage time densities for time-changed Brownian motion and Ornstein-Uhlenbeck processes are provided in several forms. Connections with closed form results and numerical evaluations through the level zero are given.