Mackey–Glass equation driven by fractional Brownian motion
AbstractIn this paper we introduce a fractional stochastic version of the Mackey–Glass model which is a potential candidate to model objects in biology and finance. By a semi-martingale approximate approach we find an semi-analytical expression for the solution.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 391 (2012)
Issue (Month): 22 ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Mackey–Glass equation; Fractional Brownian motion; Malliavin calculus;
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- Catherine Kyrtsou & Michel Terraza, 2008.
"Seasonal Mackey-Glass-GARCH process and short-term dynamics,"
Discussion Paper Series
2008_09, Department of Economics, University of Macedonia, revised Sep 2008.
- Catherine Kyrtsou & Michel Terraza, 2010. "Seasonal Mackey–Glass–GARCH process and short-term dynamics," Empirical Economics, Springer, vol. 38(2), pages 325-345, April.
- Tabak, Benjamin M. & Cajueiro, Daniel O., 2005. "The long-range dependence behavior of the term structure of interest rates in Japan," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 418-426.
- Catherine Kyrtsou & Michel Terraza, 2003. "Is it Possible to Study Chaotic and ARCH Behaviour Jointly? Application of a Noisy Mackey–Glass Equation with Heteroskedastic Errors to the Paris Stock Exchange Returns Series," Computational Economics, Society for Computational Economics, vol. 21(3), pages 257-276, June.
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