Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 391, Issue 22, Pages 5465-5472Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2012.06.013
Keywords
Mackey-Glass equation; Fractional Brownian motion; Malliavin calculus
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Funding
- Vietnam National Foundation for Science and Technology Development (NAFOSTED) [101.02-2011.12 (16-101)]
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In this paper we introduce a fractional stochastic version of the Mackey-Glass model which is a potential candidate to model objects in biology and finance. By a semi-martingale approximate approach we find an semi-analytical expression for the solution. (C) 2012 Elsevier B.V. All rights reserved.
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