Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion
A. Shahnazi-Pour, Behrouz Parsa Moghaddam, Afshin Babaei
Topics & Concepts
Fractional Brownian motionMathematicsDiscretizationHurst exponentApplied mathematicsStochastic differential equationFractional calculusInterpolation (computer graphics)Convergence (economics)Dynamical systems theoryOrdinary differential equationStochastic processMathematical analysisBrownian motionDifferential equationMotion (physics)Computer scienceStatisticsPhysicsEconomicsArtificial intelligenceEconomic growthQuantum mechanicsFractional Differential Equations SolutionsStochastic processes and financial applicationsFinancial Risk and Volatility Modeling