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Fractional stochastic heat equation on the Half-Line
(Applied Mathematical Sciences, 2016-11-12)
In this paper, we consider an initial-boundary value problem for a stochastic non-linear heat equation with Riemann-Liouville spacefractional derivative and white noise on the half-line. We construct the integral representation ...
Stochastic black-scholes equation with time-fractional derivative on the half-line
(International Journal of Pure and Applied Mathematics, 2016-01)
We investigate the pricing of options using a modified Black-Scholes equation with a time-fractional derivative and additive white noise on the half-line. We construct the Green function for the initial-boundary value ...