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Fuzzy stochastic differential equations driven by fractional Brownian motion
Advances in Difference Equations ( IF 3.1 ) Pub Date : 2021-01-07 , DOI: 10.1186/s13662-020-03181-z
Hossein Jafari , Marek T. Malinowski , M. J. Ebadi

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.



中文翻译:

分数布朗运动驱动的模糊随机微分方程

在本文中,我们考虑由分数布朗运动(fBm)驱动的模糊随机微分方程(FSDE)。这些方程式可以应用于混合现实系统中,包括随机性,模糊性和远距离依赖性。在系数的一些假设下,我们采用分数随机积分的近似方法来研究解的存在性和唯一性。例如,在财务模型中,我们获得了具有线性系数的方程的解。

更新日期:2021-01-07
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