Fractional differential equations driven by Lévy noise

V. V. Anh and R. McVinish

International Journal of Stochastic Analysis, 2003, vol. 16, 1-23

Abstract:

This paper considers a general class of fractional differential equations driven by Lévy noise. The singularity spectrum for these equations is obtained. This result allows to determine the conditions under which the solution is a semimartingale. The prediction formula and a numerical scheme for approximating the sample paths of these equations are given. Almost sure, uniform convergence of the scheme and some numerical results are also provided.

Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:539490

DOI: 10.1155/S1048953303000078

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