A Stochastic Fractional Calculus with Applications to Variational Principles
Abstract
We introduce a stochastic fractional calculus. As an application, we present a stochastic fractional calculus of variations, which generalizes the fractional calculus of variations to stochastic processes. A stochastic fractional Euler-Lagrange equation is obtained, extending those available in the literature for the classical, fractional, and stochastic calculus of variations. To illustrate our main theoretical result, we discuss two examples: one derived from quantum mechanics, the second validated by an adequate numerical simulation.
Cite
@article{arxiv.2008.00233,
title = {A Stochastic Fractional Calculus with Applications to Variational Principles},
author = {Houssine Zine and Delfim F. M. Torres},
journal= {arXiv preprint arXiv:2008.00233},
year = {2020}
}
Comments
This is a preprint of a paper whose final and definite form is published Open Access in: Fractal Fract. 2020, 4(3), Art. 38, 10 pp., available at [https://doi.org/10.3390/fractalfract4030038]. Submitted: 19 May 2020; Revised: 14 July 2020; Accepted: 30 July 2020; Published: 1 August 2020