fractional stochastic differential models
Comparison principle and stability for a class of stochastic fractional differential equations
... decades, stochastic models have been applied in many areas such as social sci- ence, physical science, finance, control engineering, mechanical, electrical and ...
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On the non Lipschitz stochastic differential equations driven by fractional Brownian motion
... mathematical models under a random disturbance of ‘Gaussian white noise’ have seen rapid ...where stochastic fluctuations with long- range dependence might ...the models of a number of practical ...
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Mild solutions for semi-linear fractional order functional stochastic differential equations with impulse effect
... Recently, fractional differential equations have been proved to be valuable tools in the modeling of many phenomena in various fields of engineering, physics, economics and ...science. Fractional ...
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A class of Hilfer fractional stochastic differential equations and optimal controls
... of fractional optimal control ...for fractional optimal control of system with fixed ...deterministic models often fluctuate due to noise or stochas- tic perturbation, so it is reasonable and practical ...
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Boundary controllability of nonlocal Hilfer fractional stochastic differential systems with fractional Brownian motion and Poisson jumps
... control. Fractional Brownian motion (fBm) is for a family of Gaussian processes that is indexed by the Hurst parameter H ∈ (0, 1) (see ...in models appearing in finance markets, physics, telecommunica- tion ...
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Modeling long range dependent Gaussian processes with application in continuous time financial models
... of fractional stochastic differential ...such fractional stochastic differential equations and the correspondence between ...
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Integer Versus Fractional Order SEIR Deterministic and Stochastic Models of Measles
... (Caputo) fractional differential equations depicting the susceptible-exposed-infectious-recovered (SEIR) models of ...and fractional stochastic processes, we introduce the ...
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Controllability of a Stochastic Neutral Functional Differential Equation Driven by a fBm
... of fractional differential equations and their applications are prominent, especially in modeling several complex phenomena such as anomalous diffusion of particles (see, for examples, [6] ...neutral ...
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Approximate controllability of impulsive fractional stochastic differential equations with state dependent delay
... the stochastic differential equation with delay is a special type of stochastic functional differential ...The stochastic functional differential equations with state-dependent delay have many important ...
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Approximate controllability of multi-term time-fractional stochastic differential inclusions with nonlocal conditions
... population models, optics and signals ...of fractional derivatives such as Hadamard derivative, Grunwald Letnikov derivative, Riemann Liouville fractional derivative, Caputo fractional ...
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Application of fractional-order Bernoulli functions for solving fractional Riccati differential equation
... of fractional-order differential ...of fractional derivative and integration for such functions to construct a new Tau technique for solving fractional partial differential equations ...
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On existence results for impulsive fractional neutral stochastic integro differential equations with nonlocal and state dependent delay conditions
... impulsive fractional neutral stochastic integro-differential systems (IFNSIDS) with nonlocal conditions (NLCs) and state-dependent delay (SDD) in Hilbert ...
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Fractional stochastic control involve fractional ito levy processes with applications to finance
... of fractional stochastic optimal control with fractional Ito-levy processes, stronovichIto- levy processes and fractional stronovich Ito-levy processes in ...about fractional levy ...
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Error estimates of finite element methods for nonlinear fractional stochastic differential equations
... In this subsection, we first present and prove some lemmas, which are crucial for the derivation of the semidiscrete error estimate for the nonlinear fractional stochastic dif- ferential equation. Then we ...
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Fractional type of flatlet oblique multiwavelet for solving fractional differential and integro-differential equations
... where α > 0 is the order of the derivative, Γ( · ) is the Gamma function and n = [α]+1. Note that for α ∈ N , the Caputo differential operator coincides with the differential operator of integer order. ...
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Stochastic Differential Equations: Models and Numerics - Free Computer, Programming, Mathematics, Technical Books, Lecture Notes and Tutorials
... Black-Scholes equation for pricing general options uses the volatility of the underlying asset. This parameter, however, is difficult to estimate. One way of estimation is to use measured market values of options on the ...
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Existence of solutions for fractional stochastic impulsive neutral functional differential equations with infinite delay
... utilizing fractional calculations and a fixed point technique ...for fractional impulsive neutral functional differential equations with infinite delay by using the Caputo fractional derivative, ...
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A new method to implement Bayesian inference on stochastic differential equation models
... • This thesis explores a new approach to approximate Bayesian inference on SDE models. This approach is not MCMC based and is inspired from the work of Rue et al. (2009) on the Integrated Nested Laplace ...
157
A white noise approach to stochastic partial differential equations driven by the fractional Lévy noise
... The remainder of this paper is organized as follows. In Sect. 2, we briefly recall the basic results on the white noise analysis for a d-parameter Lévy random field given by [5]. In Sect. 3, we define the formal derivative ...
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Attracting and quasi invariant sets of neutral stochastic integro differential equations with impulses driven by fractional Brownian motion
... In this paper, we introduced two new impulsive integral inequalities with respect to neu- tral stochastic integro-differential equations with impulses driven by fBm. We studied the attracting and quasi-invariant ...
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