In this note we present some results on stochastic dynamics with respect to a fractional Brownian motion from a L2-approximation approach. A new and simple definition of fractional stochastic integral is introduced and a theorem of existence and uniqueness for fractional stochastic differential equations is established.
A Practical Approach to Fractional Stochastic Dynamics
Contributed by the Design Engineering Division of ASME for publication in the Journal of Computational and Nonlinear Dynamics. Manuscript received August 8, 2012; final manuscript received December 16, 2012; published online June 20, 2013. Assoc. Editor: J. A. Tenreiro Machado.
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Thao, T. H. (July 20, 2013). "A Practical Approach to Fractional Stochastic Dynamics." ASME. J. Comput. Nonlinear Dynam. July 2013; 8(3): 031015. https://doi.org/10.1115/1.4023354
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