期刊
CHAOS
卷 23, 期 4, 页码 -出版社
AIP Publishing
DOI: 10.1063/1.4830271
关键词
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资金
- National Natural Science Foundation of China [11271139, 61104138]
- Guangdong Natural Science Foundation [S2011040001704]
Little seems to be known about the stochastic bifurcation phenomena of non-Markovian systems. Our intention in this paper is to understand such complex dynamics by a simple system, namely, the Black-Scholes model driven by a mixed fractional Brownian motion. The most interesting finding is that the multiplicative fractional noise not only destroys but also induces a stochastic bifurcation under some suitable conditions. So it opens a possible way to explore the theory of stochastic bifurcation in the non-Markovian framework. (C) 2013 AIP Publishing LLC.
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