Path integral for the probability of the trajectories generated by fractional dynamics subject to Gaussian white noise

DOI10.1016/J.AML.2006.08.015MaRDI QIDQ2470548zbMATH OpenOpenAlexFDO

Authors Guy Jumarie

Publication date 14 February 2008

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

Full work available at URL https://doi.org/10.1016/j.aml.2006.08.015

zbMATH Keywords

stochastic differential equationfractional noiseRiemann-Liouville derivativepath integralfractional Taylor's series

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

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Cites work

• scientific article; zbMATH DE number 3699894 (Why is no real title available?)
• scientific article; zbMATH DE number 3265172 (Why is no real title available?)
• Information Theory and Statistical Mechanics
• Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions
• Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
• On the representation of fractional Brownian motion as an integral with respect to (dt)^a
• On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion
• Stochastic analysis of the fractional Brownian motion

Cited in

(17)

• Path probability of random fractional systems defined by white noises in coarse-grained time. Application of fractional entropy
• General theory of fractal path integrals with applications to many-body theories and statistical physics
• Application of the path integral for calculation of simultaneous probability density
• A unifying representation of path integrals for fractional Brownian motions
• The Hamiltonian path integral for potentials of the Albeverio Høegh-Krohn class -- a white noise approach
• Fractional Lévy motion through path integrals
• A path integral approach to random motion with nonlinear friction
• Transition path properties for one-dimensional systems driven by Poisson white noise
• Derivation of the Selected Path Integral
• Solvability in Gevrey classes of some nonlinear fractional functional differential equations
• Distributions in the physical and engineering sciences. Volume 3. Random and anomalous fractional dynamics in continuous media
• Stochastic path summation with memory
• Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
• On path integrals and stationary probability distributions for stochastic systems
• Properties and distribution of the dynamical functional for the fractional Gaussian noise
• Statistical analysis for stochastic systems including fractional derivatives
• Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio

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