Fuzzy stochastic differential equations driven by fractional Brownian motion

Autor:	Hossein Jafari, Marek T. Malinowski, M. J. Ebadi
Jazyk:	angličtina
Rok vydání:	2021
Předmět:	Fuzzy set theory Fuzzy stochastic processes Fuzzy stochastic differential equation Fractional Brownian motion Mathematics QA1-939
Zdroj:	Advances in Difference Equations, Vol 2021, Iss 1, Pp 1-17 (2021)
Druh dokumentu:	article
ISSN:	1687-1847
DOI:	10.1186/s13662-020-03181-z
Popis:	Abstract 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:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/30fc05f62dae4999a3582d5cc88e6421 Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
Nepřihlášeným uživatelům se plný text nezobrazuje	K zobrazení výsledku je třeba se přihlásit.