Mackey–Glass equation driven by fractional Brownian motion

Dung Tien Nguyen

Physica A: Statistical Mechanics and its Applications, 2012, vol. 391, issue 22, 5465-5472

Abstract: In this paper we introduce a fractional stochastic version of the Mackey–Glass model which is a potential candidate to model objects in biology and finance. By a semi-martingale approximate approach we find an semi-analytical expression for the solution.

Keywords: Mackey–Glass equation; Fractional Brownian motion; Malliavin calculus (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:391:y:2012:i:22:p:5465-5472

DOI: 10.1016/j.physa.2012.06.013

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