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Uncertain fractional differential equations and an interest rate model
Author(s) -
Zhu Yuanguo
Publication year - 2015
Publication title -
mathematical methods in the applied sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.719
H-Index - 65
eISSN - 1099-1476
pISSN - 0170-4214
DOI - 10.1002/mma.3335
Subject(s) - mathematics , differential equation , stochastic differential equation , fractional calculus , mathematical analysis , zero (linguistics) , philosophy , linguistics
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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