An anticipating class of Fuzzy Stochastic Differential Equations

Advances in Mathematical Finance and Applications

مقاله 6، دوره 8، شماره 2، مرداد 2023، صفحه 449-462   

نوع مقاله: Research Paper

شناسه دیجیتال (DOI): 10.22034/amfa.2022.1873842.1554

نویسندگان

Hossein Jafari¹؛ Hamed Farahani²؛ Mahmoud Paripour^{* 3}

¹Department of Mathematics, Chabahar Maritime University, Iran

²Department of Mathematics, Chabahar Maritime University, Iran.

³Hamedan University Of Technology, Hamedan, 65169-13418, Iran.

چکیده

We consider a class of fuzzy stochastic differential equations (FSDE), in which the integrands of the
stochastic 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 the
stochastic 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.

کلیدواژه‌ها

Malliavin calculus؛ Skorohod integral؛ Fuzzy stochastic process؛ Fuzzy stochastic integral

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