Title of article
Mackey–Glass equation driven by fractional Brownian motion
Author/Authors
Nguyen، نويسنده , , Dung Tien Le، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
8
From page
5465
To page
5472
Abstract
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.
Keywords
Fractional Brownian motion , Mackey–Glass equation , Malliavin Calculus
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2012
Journal title
Physica A Statistical Mechanics and its Applications
Record number
1736035
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