Fractional differential equations driven by Lévy noise

[摘要] This paper considers a general class of fractional differential equations driven by Lévy noise. The singularity spectrum for these equations is obtained. This result allows to determine the conditions under which the solution is a semimartingale. The predictionformula and a numerical scheme for approximating the sample paths of these equationsare given. Almost sure, uniform convergence of the scheme and some numerical resultsare also provided.

[学科分类] 应用数学