An application of fractional differential equations to risk theory
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Publication:2274229
DOI10.1007/s00780-019-00400-8zbMath1432.91097arXiv1905.10398OpenAlexW2959464963MaRDI QIDQ2274229
Corina Constantinescu, Wei R. Zhu, Jorge M. Ramirez
Publication date: 19 September 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1905.10398
Related Items (22)
PASSIVITY AND PASSIVATION OF FRACTIONAL-ORDER NONLINEAR SYSTEMS ⋮ First passage times over stochastic boundaries for subdiffusive processes ⋮ Existence and stability results for nonlocal boundary value problems of fractional order ⋮ Shifted ultraspherical pseudo-Galerkin method for approximating the solutions of some types of ordinary fractional problems ⋮ Best approximation of a nonlinear fractional Volterra integro-differential equation in matrix MB-space ⋮ Best approximations of the \(\varphi \)-Hadamard fractional Volterra integro-differential equation by matrix valued fuzzy control functions ⋮ Volterra integral equations: an approach based on Lipschitz-continuity ⋮ Unnamed Item ⋮ Solution processes for second-order linear fractional differential equations with random inhomogeneous parts ⋮ Discrete comparison principle of a finite difference method for the multi-term time fractional diffusion equation ⋮ Multivariate claim processes with rough intensities: properties and estimation ⋮ Real-time reconstruction of external impact on fractional order system under measuring a part of coordinates ⋮ Matrix Mittag-Leffler distributions and modeling heavy-tailed risks ⋮ Some results on mixed fractional integrodifferential equation in matrix MB-space ⋮ Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis ⋮ A survey on random fractional differential equations involving the generalized Caputo fractional-order derivative ⋮ On the fuzzy stability results for fractional stochastic Volterra integral equation ⋮ A new formula for investigating delay integro-differential equations using the differential transform method involving a quotient of two functions ⋮ \(\alpha\)-robust \(H^1\)-norm convergence analysis of ADI scheme for two-dimensional time-fractional diffusion equation ⋮ Mixed fractional risk process ⋮ Solving random fractional second-order linear equations via the mean square Laplace transform: theory and statistical computing ⋮ Ulam-Hyers-Rassias stability for nonlinear \(\Psi\)-Hilfer stochastic fractional differential equation with uncertainty
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