Related papers: Fractional Immigration-Death Processes
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In this paper, we demonstrate through the use of matrix calculus a transparent analysis of fractional inhomogeneous Markov models for life insurance where transition matrices commute. The resulting formulae are intuitive matrix…
In this paper we introduce a model, the stochastic fractional delay differential equation (SFDDE), which is based on the linear stochastic delay differential equation and produces stationary processes with hyperbolically decaying…
This paper provides a summary of the fractal calculus framework. It presents higher-order homogeneous and nonhomogeneous linear fractal differential equations with $\alpha$-order. Solutions for these equations with constant coefficients are…
The connection between forward backward doubly stochastic differential equations and the optimal filtering problem is established without using the Zakai's equation. The solutions of forward backward doubly stochastic differential equations…
A random walk-based method is proposed to efficiently compute the solution of a large class of fractional in time linear systems of differential equations (linear F-ODE systems), along with the derivatives with respect to the system…
We consider stochastic non-linear diffusion equations with a highly singular diffusivity term and multiplicative gradient-type noise. We study existence and uniqueness of non-negative variational solutions in terms of stochastic variational…
In this paper we explain how to use the Fast Fourier Transform (FFT) to solve partial differential equations (PDEs). We start by defining appropriate discrete domains in coordinate and frequency domains. Then describe the main limitation of…
In this manuscript, we investigate a fractional stochastic neutral differential equation with time delay, which includes both deterministic and stochastic components. Our primary objective is to rigorously prove the existence of a unique…
We consider an inverse boundary value problem for diffusion equations with multiple fractional time derivatives. We prove the uniqueness in determining a number of fractional time-derivative terms, the orders of the derivatives and…
We study a fractional birth-death process with state dependent birth and death rates. It is defined using a system of fractional differential equations that generalizes the classical birth-death process introduced by Feller (1939). We…
This paper is devoted to describing a linear diffusion problem involving fractional-in-time derivatives and self-adjoint integro-differential space operators posed in bounded domains. One main concern of our paper is to deal with singular…
In this note, we present a new numerical method for solving backward stochastic differential equations. Our method can be viewed as an analogue of the classical finite element method solving deterministic partial differential equations.
It is argued that the evolution of complex phenomena ought to be described by fractional, differential, stochastic equations whose solutions have scaling properties and are therefore random, fractal functions. To support this argument we…
Consider ``stochastic differential equations" driven by fractional Brownian motion with Hurst parameter H (1/4 <H< 1). Their solutions are sometimes called fractional diffusion processes. The main purpose of this paper is conditioning these…
We develop a theory of the Cauchy problem for linear evolution systems of partial differential equations with the Caputo-Dzrbashyan fractional derivative in the time variable $t$. The class of systems considered in the paper is a fractional…
We present strong approximations with rate of convergence for the solution of a stochastic differential equation of the form $$ dX_t=b(X_t)dt+\sigma(X_t)dB^H_t, $$ where $b\in C^1_b$, $\sigma \in C^2_b$, $B^H$ is fractional Brownian motion…
Approximate weak solutions of the Fokker-Planck equation can represent a useful tool to analyze the equilibrium fluctuations of birth-death systems, as they provide a quantitative knowledge lying in between numerical simulations and exact…
In this paper we consider the numerical solution of Fractional Differential Equations by means of $m$-step recursions. The construction of such formulas can be obtained in many ways. Here we study a technique based on the rational…
We observe the continuous-time Markov Branching Process without high-order moments and allowing Immigration. Limit properties of transition functions and their convergence to invariant measures are investigated. Main mathematical tool is…