Title of article :
Change of measure in fractional stochastic differential equation
Author/Authors :
Al-Saadony, M.F. Universirty of Al-Qadisiyah, Iraq , Kadhim Mohammed, Bahr Universirty of Al-Qadisiyah, Iraq , Naeem Melik, Hameedah Universirty of Al-Qadisiyah, Iraq
Abstract :
Change of measure is a very well known common criterion in both the probability rules and applications. The change of measure is a transformation from actual measure to equivalent measure. We will employ the change of measure in Fractional Stochastic Differential Equations (FSDE), which is a general form of Stochastic Differential Equation (SDE). We will implement our method to some important examples, like, Fractional Brownian Motion (FBM) and Fractional Levy process (FL).
Keywords :
Change of measure , Stochastic differential equations , Fractional stochastic differential equations , Fractional Brownian motion , Fractional Levy process
Journal title :
International Journal of Nonlinear Analysis and Applications
