Fractional noise destroys or induces a stochastic bifurcation
- School of Sciences, South China University of Technology, Guangzhou 510640 (China)
- School of Automation Science and Engineering, South China University of Technology, Guangzhou 510640 (China)
Little seems to be known about the stochastic bifurcation phenomena of non-Markovian systems. Our intention in this paper is to understand such complex dynamics by a simple system, namely, the Black-Scholes model driven by a mixed fractional Brownian motion. The most interesting finding is that the multiplicative fractional noise not only destroys but also induces a stochastic bifurcation under some suitable conditions. So it opens a possible way to explore the theory of stochastic bifurcation in the non-Markovian framework.
- OSTI ID:
- 22251459
- Journal Information:
- Chaos (Woodbury, N. Y.), Vol. 23, Issue 4; Other Information: (c) 2013 AIP Publishing LLC; Country of input: International Atomic Energy Agency (IAEA); ISSN 1054-1500
- Country of Publication:
- United States
- Language:
- English
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