An extension of stochastic differential models by using the Grunwald-Letnikov fractional derivative

نویسندگان

  • Narges Mousaviy Department of Financial Sciences, Kharazmi University, Tehran, Iran
چکیده مقاله:

Stochastic differential equations (SDEs) have been applied by engineers and economists because it can express the behavior of stochastic processes in compact expressions. In this paper, by using Grunwald-Letnikov fractional derivative, the stochastic differential model is improved. Two numerical examples are presented to show efficiency of the proposed model. A numerical optimization approach based on least square approximation is applied to determine the order of the fractional derivative. Numerical examples show that the proposed model works better than the SDE to model stochastic processes with memory.

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Efficient computation of the Grünwald-Letnikov fractional diffusion derivative using adaptive time step memory

Article history: Received 1 June 2014 Received in revised form 15 April 2015 Accepted 29 April 2015 Available online 5 May 2015

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عنوان ژورنال

دوره 14  شماره 2

صفحات  1- 20

تاریخ انتشار 2020-12-01

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