In this paper, a generalized diffusion model driven by the composite-subdiffusive fractional Brownian motion (FBM) is employed. Based on this stochastic process, we derive a fractional Fokker–Planck equation (FFPE) and obtain its solution. It is proved that the Generalized Einstein Relation...

The most common stochastic volatility models such as the Ornstein–Uhlenbeck (OU), the Heston, the exponential OU (ExpOU) and Hull–White models define volatility as a Markovian process. In this work we check the applicability of the Markovian approximation at separate times scales and will...