Weak solutions to fuzzy stochastic differential equations under sub-fractional Brownian motion
Publish place: 9th Iranian Joint Congress on Fuzzy and Intelligent Systems
Publish Year: 1400
نوع سند: مقاله کنفرانسی
زبان: English
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شناسه ملی سند علمی:
FJCFIS09_056
تاریخ نمایه سازی: 10 اردیبهشت 1401
Abstract:
In this paper, the fuzzy stochastic differential equations (FSDEs) driven by sub-fractional Brownian motion (sfBm) are considered which are applied to describe phenomena subjected to randomness and fuzziness simultaneously. The sfBm is known as an extension of the Bm that preserves numerous attributes of fractional Brownian motion (fBm), but not the stationary of the increments. This property makes sfBm a possible candidate to models involving non-stationary increments, self-similarity, and long-range dependence which is suitable for the construction of stochastic models in finance and non-stationary queueing systems. We introduce an approximation approach to the fractional stochastic integrals, and a decomposition of the sfBm to find the existence and uniqueness of the weak solutions.
Keywords:
Fuzzy sets , Sub-fractional Brownian motion (sfBm) , Fuzzy stochastic integral(FSI) , Stochastic differential equation(SDE) , Picard iteration method
Authors
Hossein Jafari,
Department of Mathematics, Chabahar Maritime University, Chabahar, Iran
M. J. Ebadi
Department of Mathematics, Chabahar Maritime University, Chabahar, Iran
Hamed Farahani
Department of Mathematics, Chabahar Maritime University, Chabahar, Iran