Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function (Q874339): Difference between revisions

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-Guy Jumaric
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+Guy Jumaric
@@ Property / author: Guy Jumaric / rank @@
+Normal rank
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+MaRDI publication profile
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+Normal rank
@@ Property / cites work @@
+Stochastic analysis of the fractional Brownian motion
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+Stochastic Calculus for Fractional Brownian Motion I. Theory
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+FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
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+Stochastic differential equations with fractional Brownian motion input
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+Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
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+On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
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+On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion
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+A nonrandom variational approach to stochastic linear quadratic Gaussian optimization involving fractional noises (FLQG)
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+Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
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+Fractional Brownian Motions, Fractional Noises and Applications
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+A class of micropulses and antipersistent fractional Brownian motion
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+Alternative micropulses and fractional Brownian motion
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+Taylor’s Series Generalized for Fractional Derivatives and Applications
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+Publication:874339