Analytical Solutions for Multi-Time Scale Fractional Stochastic Differential Equations Driven by Fractional Brownian Motion and Their Applications

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dc.contributor.affiliationUniversidade de Santiago de Compostela. Departamento de Estatística, Análise Matemática e Optimizacióngl
dc.contributor.authorDing, Xiao-Li
dc.contributor.authorNieto Roig, Juan José
dc.date.accessioned2019-10-26T10:31:29Z
dc.date.available2019-10-26T10:31:29Z
dc.date.issued2018-01-16
dc.description.abstractIn this paper, we investigate analytical solutions of multi-time scale fractional stochastic differential equations driven by fractional Brownian motions. We firstly decompose homogeneous multi-time scale fractional stochastic differential equations driven by fractional Brownian motions into independent differential subequations, and give their analytical solutions. Then, we use the variation of constant parameters to obtain the solutions of nonhomogeneous multi-time scale fractional stochastic differential equations driven by fractional Brownian motions. Finally, we give three examples to demonstrate the applicability of our obtained resultsgl
dc.description.peerreviewedSIgl
dc.description.sponsorshipThe work of the Xiao-Li Ding was supported by the Natural Science Foundation of China (11501436) and Young Talent fund of University Association for Science and Technology in Shaanxi, China (20170701). The work of Juan J. Nieto has been partially supported by the AEI of Spain under Grant MTM2016-75140-P and co-financed by European Community fund FEDER, and XUNTA de Galicia under grants GRC2015-004 and R2016/022gl
dc.identifier.citationDing, X.-L.; Nieto, J.J. Analytical Solutions for Multi-Time Scale Fractional Stochastic Differential Equations Driven by Fractional Brownian Motion and Their Applications. Entropy 2018, 20, 63gl
dc.identifier.doi10.3390/e20010063
dc.identifier.essn1099-4300
dc.identifier.urihttp://hdl.handle.net/10347/19948
dc.language.isoenggl
dc.publisherMDPIgl
dc.relation.projectIDinfo:eu-repo/grantAgreement/MINECO/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/MTM2016-75140-P/ES
dc.relation.publisherversionhttps://doi.org/10.3390/e20010063gl
dc.rightsc 2018 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/)gl
dc.rights.accessRightsopen accessgl
dc.rights.urihttp://creativecommons.org/licenses/by/4.0/
dc.subjectMulti-time scale fractional stochastic differential equationsgl
dc.subjectFractional Brownian motiongl
dc.subjectFractional stochastic partial differential equationgl
dc.subjectAnalytical solutiongl
dc.titleAnalytical Solutions for Multi-Time Scale Fractional Stochastic Differential Equations Driven by Fractional Brownian Motion and Their Applicationsgl
dc.typejournal articlegl
dc.type.hasVersionVoRgl
dspace.entity.typePublication
relation.isAuthorOfPublication85e127ae-7ec7-48e4-bb4a-8eb83882ea26
relation.isAuthorOfPublication.latestForDiscovery85e127ae-7ec7-48e4-bb4a-8eb83882ea26

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