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Approximate solution for some stochastic differential equations involving both Gaussian and Poissonian white noises
Authors:G Jumarie
Institution:Department of Mathematics University of Quebec at Montreal P.O. Box 8888, Downtown Station, Montreal, Quebec H3C 3P8, Canada
Abstract:By combining the Kramers-Moyal expansion with fractional Brownian motion of order n, in a formal symbolic calculus, one can obtain an approximation for the solution of some stochastic differential equations involving both Gaussian and Poissonian white noises, in terms of rotating Gaussian white noises on the grid defined by the complex roots of the unity. Illustrative examples are outlined.
Keywords:Signed measure of probability  Gaussian white noise  Poissonian white noise  Kramers-Moyal expansion  Fractional white noise  Stochastic differential equation
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