Fractionalization of the complex-valued Brownian motion of order n using Riemann-Liouville derivative. Applications to mathematical finance and stochastic mechanics
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Publication:2497643
DOI10.1016/J.CHAOS.2005.08.083zbMATH Open1099.60025OpenAlexW1964522225MaRDI QIDQ2497643FDOQ2497643
Publication date: 4 August 2006
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2005.08.083
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Cited In (10)
- Random time-dependent Brownian motion a new approach to fractals of order \(n\)
- Scale relativity and fractal space-time: theory and applications
- Risk and Complex Fractals in Finance∶ Application to a Black-Scholes Equation of Order n
- Resonance phenomenon for a nonlinear system with fractional derivative subject to multiplicative and additive noise
- Fractional complex transforms for fractional differential equations
- Some implications of scale relativity theory in avascular stages of growth of solid tumors in the presence of an immune system response
- Variational problems with fractional derivatives: invariance conditions and Nöther's theorem
- On the invalidity of Fourier series expansions of fractional order
- Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
- Statistical analysis for stochastic systems including fractional derivatives
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