Stochastic differential equations with fractional Brownian motion input
From MaRDI portal
Publication:5287942
Recommendations
Cites work
Cited in
(57)- An approach to differential geometry of fractional order via modified Riemann-Liouville derivative
- Fractional Brownian motions described by scaled Langevin equation
- Path probability of random fractional systems defined by white noises in coarse-grained time. Application of fractional entropy
- 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
- Fractional effects on solitons in a 1D array of rectangular ferroelectric nanoparticles
- 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
- 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 order stochastic differential equation with application in European option pricing
- 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
- Derivation of a new Merton's optimal problem presented by fractional stochastic stock price and its applications
- Fractional randomness and the Brownian bridge
- 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
- Fractional variational iteration method and its application to fractional partial differential equation
- Analysis of fractionally damped flexible systems via a diffusion equation
- Note on the fractional Mittag-Leffler functions by applying the modified Riemann-Liouville derivatives
- Stochastic differential equations for fractional Brownian motions
- Fractionalization of the complex-valued Brownian motion of order \(n\) using Riemann-Liouville derivative. Applications to mathematical finance and stochastic mechanics
- Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function
- Particular solution of linear sequential fractional differential equation with constant coefficients by inverse fractional differential operators
- Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
- From Lagrangian mechanics fractal in space to space fractal Schrödinger's equation via fractional Taylor's series
- 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
- 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
- Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations
- Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes
- A numerical approach based on Pell polynomial for solving stochastic fractional differential equations
- Fractional Brownian motions ruled by nonlinear equations
- scientific article; zbMATH DE number 5220425 (Why is no real title available?)
- Fractional time scale in calcium ion channels model
- On the fractional solution of the equation \(f(x+y)=f(x)f(y)\) and its application to fractional Laplace's transform
- Fractional partial differential equations and modified Riemann-Liouville derivative new methods for solution
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio
- A nonrandom variational approach to stochastic linear quadratic Gaussian optimization involving fractional noises (FLQG)
- An approach via fractional analysis to non-linearity induced by coarse-graining in space
- Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
- Modeling fractional stochastic systems as non-random fractional dynamics driven by Brownian motions
- Stochastic simulation of heavy-particle trajectories in turbulent flows
- The stability of the positive solution for a fractional SIR model
This page was built for publication: Stochastic differential equations with fractional Brownian motion input
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5287942)