Stochastic fractional differential equations: Modeling, method and analysis

Jean-C. Pedjeu and Gangaram S. Ladde

Chaos, Solitons & Fractals, 2012, vol. 45, issue 3, 279-293

Abstract: By introducing a concept of dynamic process operating under multi-time scales in sciences and engineering, a mathematical model described by a system of multi-time scale stochastic differential equations is formulated. The classical Picard–Lindelöf successive approximations scheme is applied to the model validation problem, namely, existence and uniqueness of solution process. Naturally, this leads to the problem of finding closed form solutions of both linear and nonlinear multi-time scale stochastic differential equations of Itô–Doob type. Finally, to illustrate the scope of ideas and presented results, multi-time scale stochastic models for ecological and epidemiological processes in population dynamic are outlined.

Date: 2012
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:45:y:2012:i:3:p:279-293

DOI: 10.1016/j.chaos.2011.12.009

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