• STOCHASTIC DIFFERENTIAL EQUATIONS WITH FRACTIONAL BROWNIAN MOTION

U. RIZWAN; S. GAJENDIRAN

• STOCHASTIC DIFFERENTIAL EQUATIONS WITH FRACTIONAL BROWNIAN MOTION

U. RIZWAN, S. GAJENDIRAN

Abstract

In this article, we introduce the concept of stochastic differential equations (SDEs) with fractional Brownian motion. Using the concept of dynamic process under multitime scale in sciences and engineering, a mathematical model described by a system of multi-time scale SDEs is formulated.

Keywords

Stochastic fractional differential equations, fractional brownian motion, dynamic process, multi-time scales.

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