On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion

DOI10.1016/j.aml.2004.09.012zbMath1075.60068OpenAlexW2091071995WikidataQ115360982 ScholiaQ115360982MaRDI QIDQ2484692

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.2004.09.012

zbMATH Keywords

Mittag-Leffler function fractional derivative fractional Taylor series

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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