Fractional stochastic differential equations with applications to finance
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Cites work
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
- A class of fractional stochastic differential equations
- An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion
- An approximate approach to fractional analysis for finance
- An approximate approach to fractional stochastic integration and its applications
- Approximation schemes associated to a differential equation governed by a Hölderian function; the case of fractional Brownian motion.
- Asymptotic properties of the fractional Brownian motion of Riemann-Liouville type
- Differential equations driven by fractional Brownian motion
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional geometric mean-reversion processes
- Fractional integrated GARCH diffusion limit models
- Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2
- Long memory in continuous-time stochastic volatility models
- Semimartingale approximation of fractional Brownian motion and its applications
- Some linear fractional stochastic equations
- Stochastic analysis of fractional brownian motions
- Stochastic analysis of the fractional Brownian motion
- Stochastic calculus for fractional Brownian motion and related processes.
- Stochastic calculus with respect to Gaussian processes
- Stochastic calculus with respect to continuous finite quadratic variation processes
- Stochastic differential equations driven by fractional Brownian motions
- Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
- Stochastic integration with respect to Volterra processes
- Stochastic integration with respect to fractional Brownian motion
- Testing for a change of the long-memory parameter
- The Malliavin Calculus and Related Topics
- The sizes of compact subsets of Hilbert space and continuity of Gaussian processes
Cited in
(68)- Modeling financial time series through second-order stochastic differential equations
- Application of capacities to space–time fractional dissipative equations I: regularity and the blow-up set
- An approximate approach to fractional analysis for finance
- Convergence analysis of a second-order scheme for fractional differential equation with integral boundary conditions
- A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance
- Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility
- Preserving asymptotic mean-square stability of stochastic theta scheme for systems of stochastic delay differential equations
- Existence and characterization of solutions of nonlinear Volterra-Stieltjes integral equations in two variables
- scientific article; zbMATH DE number 1642344 (Why is no real title available?)
- A new generalized Gronwall inequality with a double singularity and its applications to fractional stochastic differential equations
- Well-posedness and EM approximations for non-Lipschitz stochastic fractional integro-differential equations
- A class of fractional stochastic differential equations
- scientific article; zbMATH DE number 1376674 (Why is no real title available?)
- On a stochastic heat equation with first order fractional noises and applications to finance
- Classical and nonclassical Lie symmetry analysis to a class of nonlinear time-fractional differential equations
- Fractional randomness
- Solvability of a nonlinear Volterra-Stieltjes integral equation in the class of bounded and continuous functions of two variables
- Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
- Some Compactness Criteria for Weak Solutions of Time Fractional PDEs
- ANALYSIS OF FRACTIONAL DIFFUSION MODELS IN FINANCE
- Strong convergence of a Euler-Maruyama method for fractional stochastic Langevin equations
- A Caputo fractional derivative of a function with respect to another function
- Analysis of fractional order differential coupled systems
- Properties of positive solutions for a fractional boundary value problem involving fractional derivative with respect to another function
- A fast Euler-Maruyama scheme and its strong convergence for multi-term Caputo tempered fractional stochastic differential equations
- The existence and averaging principle for stochastic fractional differential equations with impulses
- Ulam stabilities of nonlinear coupled system of fractional differential equations including generalized Caputo fractional derivative
- Order estimation for a fractional Brownian motion model of glucose control
- Existence and stability results for multi-time scale stochastic fractional neural networks
- Fractional processes as models in stochastic finance
- Multiple solutions for a class of boundary value problems of fractional differential equations with generalized Caputo derivatives
- On the maximum principle for optimal control problems of stochastic Volterra integral equations with delay
- Well-posedness of solutions of multi-term fractional nonlinear stochastic differential equations with weakly singular kernel
- Fractional calculus and fractional processes with applications to financial economics. Theory and applications
- NONEXISTENCE RESULTS FOR A CLASS OF NONLINEAR FRACTIONAL DIFFERENTIAL INEQUALITIES INVOLVING ERDÉLYI–KOBER FRACTIONAL DERIVATIVES
- Study on the existence and approximate solution of fractional differential equations with delay and its applications to financial models
- Fractional stochastic differential equations: a semimartingale approach
- Fractional smoothness and applications in finance
- Affine representations of fractional processes with applications in mathematical finance
- An efficient approach based on radial basis functions for solving stochastic fractional differential equations
- An approximate approach to fractional stochastic integration and its applications
- Sufficient conditions for existence and uniqueness of fractional stochastic delay differential equations
- NUMERICAL SOLUTION OF PERSISTENT PROCESSES-BASED FRACTIONAL STOCHASTIC DIFFERENTIAL EQUATIONS
- On the averaging principle of Caputo type neutral fractional stochastic differential equations
- Semimartingale approximation of fractional Brownian motion and its applications
- Fractional integrated GARCH diffusion limit models
- Finite-time stability of uncertain fractional difference equations
- Mathematical analysis for an autonomous financial dynamical system via classical and modern fractional operators
- Fractional integral equations and state space transforms
- Fractional Liu uncertain differential equation and its application to finance
- Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs
- An efficient analysis for \(N\)-soliton, lump and lump-kink solutions of time-fractional \((2+1)\)-Kadomtsev-Petviashvili equation
- Existence, uniqueness, and collocation solutions using the shifted Legendre spectral method for the Hilfer fractional stochastic integro-differential equations regarding stochastic Brownian motion
- On existence and continuity results of solution for multi-time scale fractional stochastic differential equation
- A fast Euler-Maruyama method for Riemann-Liouville stochastic fractional nonlinear differential equations
- A fast Euler-Maruyama method for fractional stochastic differential equations
- Novel operational matrices-based method for solving fractional-order delay differential equations via shifted Gegenbauer polynomials
- A note on fractional Schwartz models for mean reversion
- A derivative concept with respect to an arbitrary kernel and applications to fractional calculus
- Stochastic stability of fractional \((B,S)\)-securities markets
- On some classes of fractional stochastic dynamical systems
- A novel collocation approach to solve a nonlinear stochastic differential equation of fractional order involving a constant delay
- Continuous time processes for finance. Switching, self-exciting, fractional and other recent dynamics
- Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation
- A sharp error estimate of Euler‐Maruyama method for stochastic Volterra integral equations
- Mean-square stability of a constructed Third-order stochastic Runge--Kutta schemes for general stochastic differential equations
- Existence of weak solutions FOR \(\Psi \)-Caputo fractional boundary value problem via variational methods
- Numerical simulation of fractional-order dynamical systems in noisy environments
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