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Numerics for the fractional Langevin equation driven by the fractional Brownian motion

Peng Guo, Caibin Zeng, Changpin Li, YangQuan Chen

Fractional Calculus and Applied Analysis · 2012 · 43 citations · 20 references

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References

20

Fractional Brownian Motions, Fractional Noises and Applications

Benoît B. Mandelbrot, John W. Van Ness · SIAM Review · 1968 · 7.7K citations

, , +9

The fluctuation-dissipation theorem

Ryogo Kubo · Reports on Progress in Physics · 1966 · 5.1K citations

, , +16

Arbitrage with Fractional Brownian Motion

L. C. G. Rogers · Mathematical Finance · 1997 · 622 citations

, , +13

On Mittag-Leffler-type functions in fractional evolution processes

Francesco Mainardi, Rudolf Gorenflo · Journal of Computational and Applied Mathematics · 2000 · 541 citations · Full text

, , +4

Fractional Langevin equation

Eric Lutz · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 2001 · 451 citations · Full text

, , +16