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    STUDIA MATHEMATICA - Issue no. 1 / 2011  
         
  Article:   FRACTIONAL STOCHASTIC DIFFERENTIAL EQUATIONS: A SEMIMARTINGALE APPROACH.

Authors:  .
 
       
         
  Abstract:  

ABSTRACT. The aim of this paper is to study some class of fractional stochastic equations from the approach given in [2]. The existence and uniqueness for equations with deterministic volatility are proved. The explicit solutions of some important equations are found and the ruin probability in the asset liability management (ALM) model is investigated as well.Mathematics Subject Classification (2010): 65C30, 26A33.

Keywords: Fractional Brownian motion, stochastic differential equation,semimartingale approach, ruin probability.

 
         
     
         
         
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