First hitting time about solution for an uncertain fractional differential equation and application to an uncertain risk index model

DOI10.1016/j.chaos.2020.109836zbMath1489.34016OpenAlexW3024688530WikidataQ115359230 ScholiaQ115359230MaRDI QIDQ2120695

Yuanguo Zhu, Ting Jin

Publication date: 1 April 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2020.109836

zbMATH Keywords

predictor-corrector methodrisk indexfirst hitting timefractional differential equationuncertainty distribution

Mathematics Subject Classification ID

Fractional ordinary differential equations (34A08) Risk models (general) (91B05)

Related Items (12)

Continuity and variation analysis of fractional uncertain processes ⋮ Knock-in options of an uncertain stock model with floating interest rate ⋮ Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type ⋮ European option pricing problems with fractional uncertain processes ⋮ Parametric approximate optimal control of uncertain differential game with application to counter terror ⋮ L1 method on nonuniform meshes for linear time-fractional diffusion equations with constant time delay ⋮ Existence and uniqueness of solutions to uncertain fractional switched systems with an uncertain stock model ⋮ Parameter estimation for uncertain fractional differential equations ⋮ Reliability analysis of the uncertain fractional‐order dynamic system with state constraint ⋮ Uncertain fractional-order multi-objective optimization based on reliability analysis and application to fractional-order circuit with Caputo type ⋮ Option pricing formulas based on uncertain fractional differential equation ⋮ RELIABILITY INDEX AND OPTION PRICING FORMULAS OF THE FIRST-HITTING TIME MODEL BASED ON THE UNCERTAIN FRACTIONAL-ORDER DIFFERENTIAL EQUATION WITH CAPUTO TYPE

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