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Please use this identifier to cite or link to this item: http://ds.libol.fpt.edu.vn/handle/123456789/1956

Title: A class of fractional stochastic differential equations
Authors: Nguyen, Tien Dung
Keywords: Fractional Brownian motion
Black-Scholes
Ginzburg-Landau equation
Verlhust equation
Ruin probability
Issue Date: 2008
Abstract: 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. The explicit solution is found and some applications are investigated.
Description: 8 pages
URI: http://ds.libol.fpt.edu.vn/handle/123456789/1956
Appears in Collections:Articles published by FPT lecturers

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