Stochastic differential equations with fractional Brownian motion input

DOI10.1080/00207729308949547zbMATH Open0771.60043OpenAlexW1982262355MaRDI QIDQ5287942FDOQ5287942

Authors: Guy Jumarie 

Publication date: 8 August 1993

Published in: International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207729308949547

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zbMATH Keywords

stochastic differential equationspath integralsnonlinear filteringfractional Brownian motion inputself-similarity property

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic systems in control theory (general) (93E03)

Cites Work

• Stochastic processes and filtering theory
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• Fractional Brownian Motions, Fractional Noises and Applications
• ESTIMATION IN LONG-MEMORY TIME SERIES MODEL
• A signed measure on path space related to Wiener measure

Cited In (57)

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• Note on the fractional Mittag-Leffler functions by applying the modified Riemann-Liouville derivatives
• A numerical approach based on Pell polynomial for solving stochastic fractional differential equations
• Path probability of random fractional systems defined by white noises in coarse-grained time. Application of fractional entropy
• An approach to differential geometry of fractional order via modified Riemann-Liouville derivative
• Fractional Brownian motions described by scaled Langevin equation
• Analytical studies for linear periodic systems of fractional order
• Analysis of the equilibrium positions of nonlinear dynamical systems in the presence of coarse-graining disturbance in space
• Stochastic averaging principle for dynamical systems with fractional Brownian motion
• Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions
• A general iteration formula of VIM for fractional heat- and wave-like equations
• Regularisation of the Langevin equation in \(d=1\) by the fractional Brownian motion
• Fractional order stochastic differential equation with application in European option pricing
• On group invariant solutions of fractional order Burgers-Poisson equation
• Probability calculus of fractional order and fractional Taylor's series application to Fokker-Planck equation and information of non-random functions
• Cauchy's integral formula via the modified Riemann-Liouville derivative for analytic functions of fractional order
• Fractional multiple birth-death processes with birth probabilities \(\lambda _i(\Delta t)^\alpha +o((\Delta t)^\alpha)\)
• Dynamic models of long-memory processes driven by Lévy noise
• Derivation of an amplitude of information in the setting of a new family of fractional entropies
• Numerical pricing based on fractional Black-Scholes equation with time-dependent parameters under the CEV model: double barrier options
• Laplace's transform of fractional order via the Mittag-Leffler function and modified Riemann-Liouville derivative
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• Randomness and fractional stable distributions
• A new fractional analytical approach via a modified Riemann-Liouville derivative
• Table of some basic fractional calculus formulae derived from a modified Riemann-Liouville derivative for non-differentiable functions
• On the solutions fractional Riccati differential equation with modified Riemann-Liouville derivative
• Fractional variational homotopy perturbation iteration method and its application to a fractional diffusion equation
• Formal calculus for real‐valued fractional Brownian motions prospects in systems science
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• Fractionalization of the complex-valued Brownian motion of order \(n\) using Riemann-Liouville derivative. Applications to mathematical finance and stochastic mechanics
• Particular solution of linear sequential fractional differential equation with constant coefficients by inverse fractional differential operators
• Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function
• Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
• Lagrange characteristic method for solving a class of nonlinear partial differential equations 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
• From Lagrangian mechanics fractal in space to space fractal Schrödinger's equation via fractional Taylor's series
• Fractional stochastic differential equations satisfying fluctuation-dissipation theorem
• New stochastic fractional models for Malthusian growth, the Poissonian birth process and optimal management of populations
• On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
• On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion
• Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes
• Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
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• Fractional Brownian motions ruled by nonlinear equations
• Fractional time scale in calcium ion channels model
• Fractional partial differential equations and modified Riemann-Liouville derivative new methods for solution
• On the fractional solution of the equation \(f(x+y)=f(x)f(y)\) and its application to fractional Laplace's transform
• A nonrandom variational approach to stochastic linear quadratic Gaussian optimization involving fractional noises (FLQG)
• Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
• An approach via fractional analysis to non-linearity induced by coarse-graining in space
• Modeling fractional stochastic systems as non-random fractional dynamics driven by Brownian motions
• Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
• Stochastic simulation of heavy-particle trajectories in turbulent flows
• The stability of the positive solution for a fractional SIR model

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