Fractional stochastic differential equations with applications to finance
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Publication:713467
DOI10.1016/J.JMAA.2012.07.062zbMATH Open1255.60100OpenAlexW2093085986MaRDI QIDQ713467FDOQ713467
Authors: Dung Nguyen Tien 
Publication date: 29 October 2012
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.07.062
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Cited In (68)
- 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
- Well-posedness of solutions of multi-term fractional nonlinear stochastic differential equations with weakly singular kernel
- On the averaging principle of Caputo type neutral fractional stochastic differential equations
- Existence, uniqueness, and collocation solutions using the shifted Legendre spectral method for the Hilfer fractional stochastic integro-differential equations regarding stochastic Brownian motion
- Existence of weak solutions FOR \(\Psi \)-Caputo fractional boundary value problem via variational methods
- A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance
- Modeling financial time series through second-order stochastic differential equations
- An approximate approach to fractional analysis for finance
- Convergence analysis of a second-order scheme for fractional differential equation with integral boundary conditions
- 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
- A new generalized Gronwall inequality with a double singularity and its applications to fractional stochastic differential equations
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- Existence and characterization of solutions of nonlinear Volterra-Stieltjes integral equations in two variables
- Well-posedness and EM approximations for non-Lipschitz stochastic fractional integro-differential equations
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- A class of fractional stochastic differential equations
- 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
- Some Compactness Criteria for Weak Solutions of Time Fractional PDEs
- Solvability of a nonlinear Volterra-Stieltjes integral equation in the class of bounded and continuous functions of two variables
- ANALYSIS OF FRACTIONAL DIFFUSION MODELS IN FINANCE
- Stability analysis of split-step \(\theta \)-Milstein method for a class of \(n\)-dimensional stochastic differential equations
- Analysis of fractional order differential coupled systems
- Strong convergence of a Euler-Maruyama method for fractional stochastic Langevin equations
- A Caputo fractional derivative of a function with respect to another function
- Properties of positive solutions for a fractional boundary value problem involving fractional derivative with respect to another function
- 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
- Fractional processes as models in stochastic finance
- Existence and stability results for multi-time scale stochastic fractional neural networks
- 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
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- Study on the existence and approximate solution of fractional differential equations with delay and its applications to financial models
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- An approximate approach to fractional stochastic integration and its applications
- 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
- 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
- On some classes of fractional stochastic dynamical systems
- Stochastic stability of fractional \((B,S)\)-securities markets
- 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
- 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
- Stochastic fractional integro-differential equations with weakly singular kernels: well-posedness and Euler-Maruyama approximation
- Application of capacities to space–time fractional dissipative equations I: regularity and the blow-up set
- Numerical simulation of fractional-order dynamical systems in noisy environments
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