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Vietnam Journal of Mathematics 36:3(2008) 271-279

 A Class of Fractional Stochastic Differential Equations

Nguyen Tien Dung

Abstract.  In this paper we consider the fractional case of a class of stochastic differential equations that has many important applications. Based on an approximation approach we solve the equation with polynomial drift and fractional noise. An explicit solution is found and some applications are given.

2000 Mathematics Subject Classification: 90E03, 60K99.

Keywords: Fractional Brownian motion, Black-Scholes, Ginzburg-Landau equation, Verlhust equation, ruin probability.

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Published by Springer since January 2013