Mackey-Glass equation driven by fractional Brownian motion

被引：16

作者：

Dung Tien Nguyen ^{[1
]}

机构：

[1] FPT Univ, Dept Math, Hanoi, Vietnam

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2012年 / 391卷 / 22期

关键词：

Mackey-Glass equation; Fractional Brownian motion; Malliavin calculus; LONG-RANGE DEPENDENCE; PARAMETER; BEHAVIOR; RESPECT;

D O I：

10.1016/j.physa.2012.06.013

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

In this paper we introduce a fractional stochastic version of the Mackey-Glass model which is a potential candidate to model objects in biology and finance. By a semi-martingale approximate approach we find an semi-analytical expression for the solution. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：5465 / 5472

页数：8

共 22 条

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