First hitting time about solution for an uncertain fractional differential equation and application to an uncertain risk index model
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Publication:2120695
DOI10.1016/j.chaos.2020.109836zbMath1489.34016OpenAlexW3024688530WikidataQ115359230 ScholiaQ115359230MaRDI QIDQ2120695
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
predictor-corrector methodrisk indexfirst hitting timefractional differential equationuncertainty distribution
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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