Nhan đề: An approximate approach to fractional stochastic integration and Its applications

Tác giả: Nguyen, Tien Dung; Tran, Hung Thao

Tóm tắt: The aim of this paper is to introduce an approximation approach to fractional stochastic integration. Based on our obtained result, we find explicit solution of some fractional stochastic differential equations and study the ruin probability in the asset liability management (ALM) model.

Mô tả: 10 pages

Định danh: http://ds.libol.fpt.edu.vn/handle/123456789/1958

Năm xuất bản: 2010

Tài liệu liên quan: Trên Google Scholar