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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Cites work
- scientific article; zbMATH DE number 3265711 (Why is no real title available?)
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- Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
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- Maximum entropy, information without probability and complex fractals. Classical and quantum approach
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Cited in
(12)- 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
- Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
- Statistical analysis for stochastic systems including fractional derivatives
- Stability of delayed systems with R-L fractional order and application to synchronization in networks with delayed impulses
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