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Change of measure in fractional stochastic differential equation | ||
| International Journal of Nonlinear Analysis and Applications | ||
| دوره 13، شماره 1، خرداد 2022، صفحه 3475-3478 اصل مقاله (300.52 K) | ||
| نوع مقاله: Research Paper | ||
| شناسه دیجیتال (DOI): 10.22075/ijnaa.2022.6110 | ||
| نویسندگان | ||
| M.F. Al-Saadony1؛ Bahr Kadhim Mohammed* 1؛ Hameedah Naeem Melik2 | ||
| 1Universirty of Al-Qadisiyah, Iraq | ||
| 2{Universirty of Al-Qadisiyah, Iraq | ||
| تاریخ دریافت: 19 شهریور 1400، تاریخ بازنگری: 05 آبان 1400، تاریخ پذیرش: 22 آبان 1400 | ||
| چکیده | ||
| Change of measure is a very well known common criterion in both the probability rules and applications. The change of measure is a transformation from actual measure to equivalent measure. We will employ the change of measure in Fractional Stochastic Differential Equations (FSDE), which is a general form of Stochastic Differential Equation (SDE). We will implement our method to some important examples, like, Fractional Brownian Motion (FBM) and Fractional Levy process (FL). | ||
| کلیدواژه‌ها | ||
| Change of measure؛ Stochastic differential equations؛ Fractional stochastic differential equations؛ Fractional Brownian motion؛ Fractional Levy process | ||
| مراجع | ||
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