On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion

DOI10.1016/J.AML.2004.09.012zbMath1075.60068OpenAlexW2091071995WikidataQ115360982 ScholiaQ115360982MaRDI QIDQ2484692

Guy Jumaric

Publication date: 1 August 2005

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2004.09.012

zbMATH Keywords

Mittag-Leffler functionfractional derivativefractional Taylor series

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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Cites Work

• Stochastic analysis of the fractional Brownian motion
• Alternative micropulses and fractional Brownian motion
• Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
• A class of micropulses and antipersistent fractional Brownian motion
• On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic differential equations with fractional Brownian motion input
• Fractional Brownian Motions, Fractional Noises and Applications
• Taylor’s Series Generalized for Fractional Derivatives and Applications
• ON FRACTIONAL INTEGRALS AND DERIVATIVES

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