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Title: Fractional noise destroys or induces a stochastic bifurcation

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.
Authors:
 [1] ;  [1] ;  [2] ;  [3]
  1. School of Sciences, South China University of Technology, Guangzhou 510640 (China)
  2. (China)
  3. School of Automation Science and Engineering, South China University of Technology, Guangzhou 510640 (China)
Publication Date:
OSTI Identifier:
22251459
Resource Type:
Journal Article
Resource Relation:
Journal Name: Chaos (Woodbury, N. Y.); Journal Volume: 23; Journal Issue: 4; Other Information: (c) 2013 AIP Publishing LLC; Country of input: International Atomic Energy Agency (IAEA)
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; BIFURCATION; BROWNIAN MOVEMENT; MARKOV PROCESS; NOISE