Risk and Complex Fractals in Finance∶ Application to a Black-Scholes Equation of Order n

DOI10.1080/02329290212166zbMATH Open1092.91025OpenAlexW1974714636MaRDI QIDQ4466906FDOQ4466906

Authors: Guy Jumarie 

Publication date: 8 June 2004

Published in: Systems Analysis Modelling Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02329290212166

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zbMATH Keywords

Black-Scholes equations

Mathematics Subject Classification ID

Gaussian processes (60G15) Portfolio theory (91G10) White noise theory (60H40) Optimal stochastic control (93E20)

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• Analysis of the equilibrium positions of nonlinear dynamical systems in the presence of coarse-graining disturbance in space
• Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions
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• Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
• Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
• From Lagrangian mechanics fractal in space to space fractal Schrödinger's equation via fractional Taylor's series
• Fractional partial differential equations and modified Riemann-Liouville derivative new methods for solution
• An approach via fractional analysis to non-linearity induced by coarse-graining in space
• The inescapable need for fractal tools in finance

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