An anticipating class of Fuzzy Stochastic Differential Equations

محورهای موضوعی : Numerical Methods in Mathematical Finance

Hossein Jafari ¹ , Hamed Farahani ² , Mahmoud Paripour ³

1 - Department of Mathematics, Chabahar Maritime University, Iran
2 - Department of Mathematics, Chabahar Maritime University, Iran.
3 - Hamedan University Of Technology, Hamedan, 65169-13418, Iran.

تاریخ دریافت : 1399/11/06 تاریخ پذیرش : 1401/02/04 تاریخ انتشار : 1402/02/11

کلید واژه: Fuzzy stochastic integral, Skorohod integral, Malliavin calculus, Fuzzy stochastic process,

چکیده مقاله :

We consider a class of fuzzy stochastic differential equations (FSDE), in which the integrands of thestochastic integrals are not adapted to the duration generated by a Wiener process. Such equations with randomness, fuzziness, and non-adapted processes can be applied in financial models. We discuss the existence and uniqueness of strong solutions.We consider a class of fuzzy stochastic differential equations (FSDE), in which the integrands of thestochastic integrals are not adapted to the duration generated by a Wiener process. Such equations with randomness, fuzziness, and non-adapted processes can be applied in financial models. We discuss the existence and uniqueness of strong solutions.

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