Numerical Implementation of Stochastic Operational Matrix Driven by a Fractional Brownian Motion for Solving a Stochastic Differential Equation
Work
Year: 2014
Type: article
Abstract: An efficient method to determine a numerical solution of a stochastic differential equation (SDE) driven by fractional Brownian motion (FBM) with Hurst parameter<mml:math xmlns:mml="http://www.w3.org/... more
Source: Abstract and Applied Analysis
Authors R. Ezzati, M. Khodabin, Z. Sadati
Institution Islamic Azad University, Karaj
Cites: 21
Cited by: 13
Related to: 10
FWCI: 1.09
Citation percentile (by year/subfield): 86.85
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,025
Funder Islamic Azad University