Fractionalization of the complex-valued Brownian motion of order \(n\) using Riemann-Liouville derivative. Applications to mathematical finance and stochastic mechanics

DOI10.1016/j.chaos.2005.08.083zbMath1099.60025OpenAlexW1964522225MaRDI QIDQ2497643

Guy Jumaric

Publication date: 4 August 2006

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2005.08.083

zbMATH Keywords

fractional derivativesGaussian white noiseoptimal managementLagrangian mechanics

Mathematics Subject Classification ID

Gaussian processes (60G15)

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