The STUDIA UNIVERSITATIS BABEŞ-BOLYAI issue article summary

The summary of the selected article appears at the bottom of the page. In order to get back to the contents of the issue this article belongs to you have to access the link from the title. In order to see all the articles of the archive which have as author/co-author one of the authors mentioned below, you have to access the link from the author's name.

  
       
         
    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.

 
         
     
         
         
      Back to previous page