Long-memory Gaussian processes governed by generalized Fokker-Planck equations
It is well-known that the transition function of the Ornstein-Uhlenbeck process solves the Fokker-Planck equation. This standard setting has been recently generalized in different directions, for example, by considering the so-called a-stable driven Ornstein-Uhlenbeck, or by time-changing the original process with an inverse stable subordinator. In both cases, the corresponding partial differential equations involve fractional derivatives (of Riesz and Riemann-Liouville types, respectively) and the solution is not Gaussian.