Modeling fractional stochastic systems as non-random fractional dynamics driven by Brownian motions

DOI10.1016/J.APM.2007.02.020zbMath1138.60324OpenAlexW2035917572MaRDI QIDQ2472965

Guy Jumaric

Publication date: 25 February 2008

Published in: Applied Mathematical Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apm.2007.02.020

zbMATH Keywords

fractional Brownian motionfractional stochastic differential equationfractional Gaussian noisesfractional exponential growthfractional coloured noises

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

Related Items (16)

Caputo type fractional difference operator and its application on discrete time scales ⋮ The Convergence of Euler-Maruyama Method of Nonlinear Variable-Order Fractional Stochastic Differential Equations ⋮ An Efficient Numerical Solution of Fractional Optimal Control Problems by using the Ritz Method and Bernstein Operational Matrix ⋮ Existence and stability behaviour of FSDE driven by Rosenblatt process with the application of visual perception of fish robot ⋮ Fractional variational calculus for nondifferentiable functions ⋮ On the linear-quadratic regulator problem in one-dimensional linear fractional stochastic systems ⋮ Path probability of random fractional systems defined by white noises in coarse-grained time. Application of fractional entropy ⋮ Stability and convergence of modified Du Fort-Frankel schemes for solving time-fractional subdiffusion equations ⋮ FRACTIONAL TIME SCALE IN CALCIUM ION CHANNELS MODEL ⋮ Unnamed Item ⋮ On the fractional-order extended Kalman filter and its application to chaotic cryptography in noisy environment ⋮ On \(q\)-dynamic equations modelling and complexity ⋮ Comments on ``Modeling fractional stochastic systems as non-random fractional dynamics driven Brownian motions ⋮ On Riemann-Liouville and Caputo derivatives ⋮ Novel hybrid robust fractional interpolatory cubature Kalman filters ⋮ A NEW NUMERICAL TREATMENT FOR FRACTIONAL DIFFERENTIAL EQUATIONS BASED ON NON-DISCRETIZATION OF DATA USING LAGUERRE POLYNOMIALS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The fractional calculus. Theory and applications of differentiation and integration to arbitrary order
• Fractional calculus and its applications. Proceedings of the international conference held at the University of New Haven, June 1974
• Stochastic analysis of the fractional Brownian motion
• A class of micropulses and antipersistent fractional Brownian motion
• Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
• New stochastic fractional models for Malthusian growth, the Poissonian birth process and optimal management of populations
• On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
• On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• On a Concept of Derivative of Complex Order with Applications to Special Functions
• Local Fractional Fokker-Planck Equation
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic differential equations with fractional Brownian motion input
• A New Representation for Stochastic Integrals and Equations
• Fractional Brownian Motions, Fractional Noises and Applications
• Taylor’s Series Generalized for Fractional Derivatives and Applications
• ON FRACTIONAL INTEGRALS AND DERIVATIVES
• On stochastic differential equations

This page was built for publication: Modeling fractional stochastic systems as non-random fractional dynamics driven by Brownian motions