Fractional Differential Equations Driven by Levy Noise

By Vo Anh, Ross McVinish. 2003

70 citations recorded by the source corpus.

This paper considers a general class of fractional differential equations driven by Levy 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.

Subfields: Applied Mathematics, Finance, Modeling and Simulation

View Paper: https://www.semanticscholar.org/paper/7a437baff79eb60268250fcf61fe2dc30ab41f73

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Applied Mathematics

1. Claudio Cuevas
2. Carlos Lizama
3. Gaston M. N'Guérékata
4. Christopher S. Goodrich
5. Chuang Chen
6. Miao Li
7. Toka Diagana
8. Rodrigo Ponce

In Finance

1. Claudio Cuevas

In Modeling and Simulation

1. Claudio Cuevas
2. Carlos Lizama
3. Christopher S. Goodrich

Citations in the corpus

• S‐asymptotically ω‐periodic solutions for semilinear Volterra equations (2010, background): “Due to their applications in several flelds of science (see [ 1 , 11, 14]), type (1.2) equations are attracting increasing interest as well as their numerical treatment.”