Fuzzy stochastic differential equations driven by fractional Brownian motion
| Autor: | Mohammad Ebadi, Marek T. Malinowski, Hossein Jafari |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2021 |
| Předmět: |
0209 industrial biotechnology
Algebra and Number Theory Partial differential equation Fractional Brownian motion Applied Mathematics lcsh:Mathematics 02 engineering and technology lcsh:QA1-939 Fuzzy logic Stochastic integral Fuzzy stochastic differential equation Stochastic differential equation 020901 industrial engineering & automation Ordinary differential equation 0202 electrical engineering electronic engineering information engineering Fuzzy stochastic processes Applied mathematics 020201 artificial intelligence & image processing Uniqueness Fuzzy set theory Analysis Randomness Mathematics |
| Zdroj: | Advances in Difference Equations, Vol 2021, Iss 1, Pp 1-17 (2021) |
| ISSN: | 1687-1847 |
| Popis: | In this paper, we consider fuzzy stochastic differential equations (FSDEs) driven by fractional Brownian motion (fBm). These equations can be applied in hybrid real-world systems, including randomness, fuzziness and long-range dependence. Under some assumptions on the coefficients, we follow an approximation method to the fractional stochastic integral to study the existence and uniqueness of the solutions. As an example, in financial models, we obtain the solution for an equation with linear coefficients. |
| Databáze: | OpenAIRE |
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