solve fractional fuzzy stochastic differential equation
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George Urumov
il 10 Gen 2023
Commentato: George Urumov
il 23 Feb 2023
anyone knows how to create a model of fuzzy fractal Brownian motion when hurst parameter is NOT equal to 0.5 in Matlab.
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WEI-MIN SHEN
il 5 Feb 2023
Spostato: Image Analyst
il 5 Feb 2023
1 deal with the stochastic process with either Volterra or Harmonizable representation
2 select any type of stochastic calculus to solve your SODE
3 (for numerical simulation) you may need to involve some special orthogonal series to approach
4 discretize the SODE and solve in either integral or differential form
Simply, the main different between Bm and fBm is the smoothness of the trajectory (we also interpret as the accelerate/decelerate regon which the particle jump into)
If you just want a quick, there is a inbuild function to generate fBm called "wfbm"
For any mistake/misunderstanding, feel free to correct me
wm
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Image Analyst
il 10 Gen 2023
I don't know what that means but I have attached some random walk demos if you want those.
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Image Analyst
il 11 Gen 2023
I don't know what that means, but I don't need to. So, OK, good luck. Hopefully this gave you a good chunk of code to start with. Chances are that no one has such a very specific, esoteric program and if there is, they won't stumble across your question. So you'll have to finalize the code yourself. Again, have fun and good luck.
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