Change of measure in fractional stochastic differential equation

	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
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
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