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Stochastic fractional-order differential models with fractal boundary conditions

Author

Listed:
  • Ruiz-Medina, M. D.
  • Anh, V. V.
  • Angulo, J. M.

Abstract

A class of stochastic fractional-order differential models with homogeneous boundary conditions on a fractal set is introduced. The corresponding solution class satisfies a weak-sense Markov condition with respect to domains with fractal boundary. Some examples are given which provide a stochastic version of fractal drums.

Suggested Citation

  • Ruiz-Medina, M. D. & Anh, V. V. & Angulo, J. M., 2001. "Stochastic fractional-order differential models with fractal boundary conditions," Statistics & Probability Letters, Elsevier, vol. 54(1), pages 47-60, August.
    • Handle: RePEc:eee:stapro:v:54:y:2001:i:1:p:47-60
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    Cited by:

    1. R. Fernández-Pascual & M. Ruiz-Medina & J. Angulo, 2003. "Multiscale estimation of processes related to the fractional Black-Scholes equation," Computational Statistics, Springer, vol. 18(3), pages 401-415, September.
    2. Ruiz-Medina, M. D. & Angulo, J. M. & Anh, V. V., 2003. "Fractional-order regularization and wavelet approximation to the inverse estimation problem for random fields," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 192-216, April.

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