On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
From MaRDI portal
Publication:2484680
DOI10.1016/j.aml.2004.05.014zbMath1082.60029MaRDI QIDQ2484680
Publication date: 1 August 2005
Published in: Applied Mathematics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.aml.2004.05.014
stochastic differential equation; Maruama notation; stochastic calculus of fractional order; Taylor's series of fractional order
60G15: Gaussian processes
Related Items
RIEMANN-CHRISTOFFEL TENSOR IN DIFFERENTIAL GEOMETRY OF FRACTIONAL ORDER APPLICATION TO FRACTAL SPACE-TIME, On fractional differential inclusions with the Jumarie derivative, Nonlinear fractional Jaulent-Miodek and Whitham-Broer-Kaup equations within Sumudu transform, The time-fractional coupled-Korteweg-de-Vries equations, Probability calculus of fractional order and fractional Taylor's series application to Fokker-Planck equation and information of non-random functions, The Minkowski's space-time is consistent with differential geometry of fractional order, From Lagrangian mechanics fractal in space to space fractal Schrödinger's equation via fractional Taylor's series, Cauchy's integral formula via the modified Riemann-Liouville derivative for analytic functions of fractional order, Fractional multiple birth-death processes with birth probabilities \(\lambda _i(\Delta t)^\alpha +o((\Delta t)^\alpha)\), Fractional variational calculus for nondifferentiable functions, Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function, Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations, Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio, Table of some basic fractional calculus formulae derived from a modified Riemann-Liouville derivative for non-differentiable functions, Laplace's transform of fractional order via the Mittag-Leffler function and modified Riemann-Liouville derivative, An approach via fractional analysis to non-linearity induced by coarse-graining in space, Derivation of an amplitude of information in the setting of a new family of fractional entropies, Waves in fractal media, Local fractional Fourier series with application to wave equation in fractal vibrating string, An approach to differential geometry of fractional order via modified Riemann-Liouville derivative, On the fractional solution of the equation \(f(x+y)=f(x)f(y)\) and its application to fractional Laplace's transform, Lagrange characteristic method for solving a class of nonlinear partial differential equations of fractional order, A general iteration formula of VIM for fractional heat- and wave-like equations, Analysis of the equilibrium positions of nonlinear dynamical systems in the presence of coarse-graining disturbance in space, Fractional partial differential equations and modified Riemann-Liouville derivative new methods for solution, Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions, Path integral for the probability of the trajectories generated by fractional dynamics subject to Gaussian white noise, Modeling fractional stochastic systems as non-random fractional dynamics driven by Brownian motions, Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results, New stochastic fractional models for Malthusian growth, the Poissonian birth process and optimal management of populations, On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion, Fractionalization of the complex-valued Brownian motion of order \(n\) using Riemann-Liouville derivative. Applications to mathematical finance and stochastic mechanics, A nonrandom variational approach to stochastic linear quadratic Gaussian optimization involving fractional noises (FLQG), Subjective observation via informational invariance results in creation of fractals and self‐similar processes of fractional order, Optimal Management of a Variable Annuity Invested in a Black–Scholes Market Driven by a Multidimensional Fractional Brownian Motion, Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion
Cites Work
- Stochastic analysis of the fractional Brownian motion
- Alternative micropulses and fractional Brownian motion
- Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
- A class of micropulses and antipersistent fractional Brownian motion
- Stochastic differential equations with fractional Brownian motion input
- Fractional Brownian Motions, Fractional Noises and Applications
- ON FRACTIONAL INTEGRALS AND DERIVATIVES
