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
收藏
页码：5465 / 5472
页数：8
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