Printed in the USA c©2003 by North Atlantic Science Publishing Company FRACTIONAL DIFFERENTIAL EQUATIONS DRIVEN BY LÉVY NOISE

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 ap...

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Bibliographic Details
Main Authors: V. V. Anh, R. Mcvinish
Other Authors: The Pennsylvania State University CiteSeerX Archives
Format: Text
Language:English
Published: 2001
Subjects:
Key words
Stochastic Fractional Differential Equation
Anomalous Diffusion
Multi- fractality
Long-Range Dependence
Semimartingale Representation
North Atlantic
Online Access:http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.548.6155
http://www.math.ethz.ch/EMIS/journals/HOA/JAMSA/Volume16_2/119.pdf
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spelling ftciteseerx:oai:CiteSeerX.psu:10.1.1.548.6155 2023-05-15T17:30:45+02:00 Printed in the USA c©2003 by North Atlantic Science Publishing Company FRACTIONAL DIFFERENTIAL EQUATIONS DRIVEN BY LÉVY NOISE V. V. Anh R. Mcvinish The Pennsylvania State University CiteSeerX Archives 2001 application/pdf http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.548.6155 http://www.math.ethz.ch/EMIS/journals/HOA/JAMSA/Volume16_2/119.pdf en eng http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.548.6155 http://www.math.ethz.ch/EMIS/journals/HOA/JAMSA/Volume16_2/119.pdf Metadata may be used without restrictions as long as the oai identifier remains attached to it. http://www.math.ethz.ch/EMIS/journals/HOA/JAMSA/Volume16_2/119.pdf Key words Stochastic Fractional Differential Equation Anomalous Diffusion Multi- fractality Long-Range Dependence Semimartingale Representation text 2001 ftciteseerx 2016-01-08T11:24:30Z 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. Text North Atlantic Unknown
institution Open Polar
collection Unknown
op_collection_id ftciteseerx
language English
topic Key words
Stochastic Fractional Differential Equation
Anomalous Diffusion
Multi- fractality
Long-Range Dependence
Semimartingale Representation
spellingShingle Key words
Stochastic Fractional Differential Equation
Anomalous Diffusion
Multi- fractality
Long-Range Dependence
Semimartingale Representation
V. V. Anh
R. Mcvinish
Printed in the USA c©2003 by North Atlantic Science Publishing Company FRACTIONAL DIFFERENTIAL EQUATIONS DRIVEN BY LÉVY NOISE
topic_facet Key words
Stochastic Fractional Differential Equation
Anomalous Diffusion
Multi- fractality
Long-Range Dependence
Semimartingale Representation
description 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.
author2 The Pennsylvania State University CiteSeerX Archives
format Text
author V. V. Anh
R. Mcvinish
author_facet V. V. Anh
R. Mcvinish
author_sort V. V. Anh
title Printed in the USA c©2003 by North Atlantic Science Publishing Company FRACTIONAL DIFFERENTIAL EQUATIONS DRIVEN BY LÉVY NOISE
title_short Printed in the USA c©2003 by North Atlantic Science Publishing Company FRACTIONAL DIFFERENTIAL EQUATIONS DRIVEN BY LÉVY NOISE
title_full Printed in the USA c©2003 by North Atlantic Science Publishing Company FRACTIONAL DIFFERENTIAL EQUATIONS DRIVEN BY LÉVY NOISE
title_fullStr Printed in the USA c©2003 by North Atlantic Science Publishing Company FRACTIONAL DIFFERENTIAL EQUATIONS DRIVEN BY LÉVY NOISE
title_full_unstemmed Printed in the USA c©2003 by North Atlantic Science Publishing Company FRACTIONAL DIFFERENTIAL EQUATIONS DRIVEN BY LÉVY NOISE
title_sort printed in the usa c©2003 by north atlantic science publishing company fractional differential equations driven by lévy noise
publishDate 2001
url http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.548.6155
http://www.math.ethz.ch/EMIS/journals/HOA/JAMSA/Volume16_2/119.pdf
genre North Atlantic
genre_facet North Atlantic
op_source http://www.math.ethz.ch/EMIS/journals/HOA/JAMSA/Volume16_2/119.pdf
op_relation http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.548.6155
http://www.math.ethz.ch/EMIS/journals/HOA/JAMSA/Volume16_2/119.pdf
op_rights Metadata may be used without restrictions as long as the oai identifier remains attached to it.
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