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| General solution for fractional stochastic differential equations |
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WANG Zi-ting, LI Ping
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(College of Mathematics and Computational Science in China University of Petroleum，Dongying 257061, China)
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| Abstract: |
| By using fractional Brownian motion theory, general solution for the stochastic differential equations (SDE) based on fractional Brownian motion, namely fractional stochastic differential equations (FSDE) , was deduced according to the research results of SDE based on Brownian motion. |
| Key words: fractal market fractional Brownian motion stochastic differential equations? It6 formula |
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