Continuity and variation analysis of fractional uncertain processes

DOI10.1016/J.CHAOS.2020.110250MaRDI QIDQ2123689zbMATH OpenOpenAlexFDO

Authors Yuhong Sheng, Kai Yao, Zhongfeng Qin

Publication date 14 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.2020.110250

zbMATH Keywords

fractional Liu processsample continuityuncertain processvariation

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Measures of information, entropy (94A17)

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• Some stability theorems of uncertain differential equation
• Variation analysis of semi-canonical process
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• Standard Liu process with non decreasing sample paths
• Uncertainty distribution and independence of uncertain processes

Cites work

• A sufficient and necessary condition of uncertainty distribution
• Asian-barrier option pricing formulas of uncertain financial market
• Cross-entropy measure of uncertain variables
• First hitting time about solution for an uncertain fractional differential equation and application to an uncertain risk index model
• Fractional Brownian Motions, Fractional Noises and Applications
• On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion
• Parameter estimation of uncertain differential equation with application to financial market
• Some stability theorems of uncertain differential equation
• Stochastic analysis of the fractional Brownian motion
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• Uncertain calculus with renewal process
• Uncertainty theory
• Valuation of stock loan under uncertain stock model with floating interest rate
• Variation analysis of uncertain stationary independent increment processes
• Wavelet analysis and synthesis of fractional Brownian motion

Cited in

(9)

• Variation analysis of uncertain stationary independent increment processes
• A relation between moments of Liu process and Bernoulli numbers
• European option pricing problems with fractional uncertain processes
• Fractional Liu uncertain differential equation and its application to finance
• Standard Liu process with non decreasing sample paths
• Simulation of sample paths and distribution of Liu integrals
• Uncertain green product supply chain with government intervention
• Variation analysis of semi-canonical process
• Uncertain differential equations driven by fractional Liu process

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