Fractional differential equations driven by Lévy noise-Reference-Cited by-同舟云学术

Fractional differential equations driven by Lévy noise

Published:2003-01-01 Issue:2 Volume:16 Page:97-119
ISSN:1048-9533
Container-title:Journal of Applied Mathematics and Stochastic Analysis
language:en
Short-container-title:Journal of Applied Mathematics and Stochastic Analysis

Author:

Anh V. V.¹,McVinish R.¹

Affiliation:

1. Centre in Statistical Science and Industrial Mathematics, Queensland University of Technology, GPO Box 2434, Brisbane QLD 4001, Australia

Abstract

This paper considers a general class of fractional differential equations driven by Lévy noise. The singularity spectrum for these equations is obtained. This result allows to determine the conditions under which the solution is a semimartingale. The prediction formula and a numerical scheme for approximating the sample paths of these equations are given. Almost sure, uniform convergence of the scheme and some numerical results are also provided.

Publisher

Hindawi Limited

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Link

http://downloads.hindawi.com/archive/2003/539490.pdf

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