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Fuzzy stochastic differential equations driven by fractional Brownian motion
Authors:
- Hossein Jafari,
- Marek T. Malinowski,
- M. J. Ebadi
Abstract
In this paper, we consider fuzzy stochastic differential equations (FSDEs) driven byfractional Brownian motion (fBm). These equations can be applied in hybridreal-world systems, including randomness, fuzziness and long-range dependence.Under some assumptions on the coefficients, we follow an approximation method tothe fractional stochastic integral to study the existence and uniqueness of thesolutions. As an example, in financial models, we obtain the solution for an equationwith linear coefficients.
- Record ID
- CUT19df608d98b04c3d9e9c9109820793a0
- Publication categories
- ;
- Author
- Journal series
- Advances in Difference Equations, ISSN 1687-1847, [1687-1839]
- Issue year
- 2021
- Vol
- 2021
- Pages
- [1-17]
- Article number
- 16
- Other elements of collation
- Bibliografia (na s.) - 17; Bibliografia (liczba pozycji) - 19; Oznaczenie streszczenia - Abstr.; Numeracja w czasopiśmie - Vol. 2021
- Keywords in English
- fuzzy set theory, fuzzy stochastic processes, fuzzy stochastic differentialequation, fractional Brownian motion
- DOI
- DOI:10.1186/s13662-020-03181-z Opening in a new tab
- URL
- https://advancesindifferenceequations.springeropen.com/articles/10.1186/s13662-020-03181-z Opening in a new tab
- Language
- eng (en) English
- License
- Score (nominal)
- 40
- Additional fields
- Indeksowana w: Web of Science, Scopus
- Uniform Resource Identifier
- https://cris.pk.edu.pl/info/article/CUT19df608d98b04c3d9e9c9109820793a0/
- URN
urn:pkr-prod:CUT19df608d98b04c3d9e9c9109820793a0
* presented citation count is obtained through Internet information analysis, and it is close to the number calculated by the Publish or PerishOpening in a new tab system.