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Vietnam Journal of Mathematics 36:3(2008) 271-279 |
A Class of Fractional Stochastic Differential Equations |
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Nguyen Tien Dung |
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Abstract. In this paper we consider the fractional case of a class of stochastic differential equations that has many important applications. Based on an approximation approach we solve the equation with polynomial drift and fractional noise. An explicit solution is found and some applications are given. \vv |
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2000 Mathematics Subject Classification: 90E03, 60K99. |
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Keywords: Fractional Brownian motion, Black-Scholes, Ginzburg-Landau equation, Verlhust equation, ruin probability. |
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Vietnam Academy of Science and Technology
& Vietnamese Mathematical Society © Copyright 2009 Vietnam Journal of Mathematics. All rights reserved. |