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
Pages
4
From page
3475
To page
3478
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
Serial Year
2022
Record number
2714259
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