A Stochastic Fractional Calculus with Applications to Variational Principles

DOI10.3390/FRACTALFRACT4030038MaRDI QIDQ6346286zbMATH OpenFDO

Authors Houssine Zine, Delfim F. M. Torres

Publication date 1 August 2020

Full work available at URL https://doi.org/10.3390/FRACTALFRACT4030038

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Optimality conditions for free problems in one independent variable (49K05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We introduce a stochastic fractional calculus. As an application, we present a stochastic fractional calculus of variations, which generalizes the fractional calculus of variations to stochastic processes. A stochastic fractional Euler-Lagrange equation is obtained, extending those available in the literature for the classical, fractional, and stochastic calculus of variations. To illustrate our main theoretical result, we discuss two examples: one derived from quantum mechanics, the second validated by an adequate numerical simulation.

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