Uncertain fractional differential equations and an interest rate model |
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| Authors: | Yuanguo Zhu |
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| Institution: | Department of Applied Mathematics, Nanjing University of Science and Technology, Nanjing 210094, Jiangsu, China |
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| Abstract: | The concept of uncertain fractional differential equation is introduced, and solutions of several uncertain fractional differential equations are presented. This kind of equation is a counterpart of stochastic fractional differential equation. By the proposed concept, an interest rate model is considered, and the price of a zero‐coupon bond is obtained. Copyright © 2014 John Wiley & Sons, Ltd. |
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| Keywords: | fractional calculus fractional differential equation uncertainty interest rate model |
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