Chaos Expansion Methods for Stochastic Differential Equations Involving the Malliavin Derivative–Part II
Tijana Levajković, Dora Seleši (2011)
Publications de l'Institut Mathématique
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Displaying similar documents to “Chaos Expansion Methods for Stochastic Differential Equations Involving the Malliavin Derivative–Part I”
Chaos Expansion Methods for Stochastic Differential Equations Involving the Malliavin Derivative–Part II
On the local time of sub-fractional Brownian motion
Ibrahima Mendy (2010)
Annales mathématiques Blaise Pascal
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be a sub-fractional Brownian motion with . We establish the existence, the joint continuity and the Hölder regularity of the local time of . We will also give Chung’s form of the law of iterated logarithm for . This results are obtained with the decomposition of the sub-fractional Brownian motion into the sum of fractional Brownian motion plus a stochastic process with absolutely continuous trajectories. This decomposition is given by Ruiz de Chavez and Tudor []. ...
Stochastic fractional partial differential equations driven by Poisson white noise
Salah Hajji (2008)
Annales mathématiques Blaise Pascal
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We study a stochastic fractional partial differential equations of order driven by a compensated Poisson measure. We prove existence and uniqueness of the solution and we study the regularity of its trajectories.
Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion
Rachid Belfadli (2010)
Annales mathématiques Blaise Pascal
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We prove, by means of Malliavin calculus, the convergence in of some properly renormalized weighted quadratic variations of bi-fractional Brownian motion (biFBM) with parameters and , when and .
On q–Analogues of Caputo Derivative and Mittag–Leffler Function
Rajkovic, Predrag, Marinkovic, Sladjana, Stankovic, Miomir (2007)
Fractional Calculus and Applied Analysis
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Mathematics Subject Classification: 33D60, 33E12, 26A33 Based on the fractional q–integral with the parametric lower limit of integration, we consider the fractional q–derivative of Caputo type. Especially, its applications to q-exponential functions allow us to introduce q–analogues of the Mittag–Leffler function. Vice versa, those functions can be used for defining generalized operators in fractional q–calculus.
Certain Properties of Fractional Calculus Operators Associated with Generalized Mittag-Leffler Function
Saxena, R. K., Saigo, Megumi (2005)
Fractional Calculus and Applied Analysis
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Mathematics Subject Classification: 26A33, 33E12, 33C20. It has been shown that the fractional integration and differentiation operators transform such functions with power multipliers into the functions of the same form. Some of the results given earlier by Kilbas and Saigo follow as special cases.
Fractional Integration and Fractional Differentiation of the M-Series
Sharma, Manoj (2008)
Fractional Calculus and Applied Analysis
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Mathematics Subject Classification: 26A33, 33C60, 44A15 In this paper a new special function called as M-series is introduced. This series is a particular case of the H-function of Inayat-Hussain. The M-series is interesting because the pFq -hypergeometric function and the Mittag-Leffler function follow as its particular cases, and these functions have recently found essential applications in solving problems in physics, biology, engineering and applied sciences. Let us note...
Fractional Calculus of the Generalized Wright Function
Kilbas, Anatoly (2005)
Fractional Calculus and Applied Analysis
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Mathematics Subject Classification: 26A33, 33C20. The paper is devoted to the study of the fractional calculus of the generalized Wright function pΨq(z) defined for z ∈ C, complex ai, bj ∈ C and real αi, βj ∈ R (i = 1, 2, · · · p; j = 1, 2, · · · , q) by the series pΨq (z) It is proved that the Riemann-Liouville fractional integrals and derivative of the Wright function are also the Wright functions but of greater order. Special cases are considered. * The present...