On the Construction of a New Fractional Brownian Motion

Authors

  • Mahmoud M. El-Borai Department of Mathematics and Computer Sciences-Faculty of Science, Alexandria University, Egypt.
  • Khairia El-Said El-Nadi Department of Mathematics and Computer Sciences-Faculty of Science, Alexandria University, Egypt.

DOI:

https://doi.org/10.9734/bpi/mcscd/v9/3104

Keywords:

Fractional normal distribution, Riemann stochastic integrals fractional, Brownian motion, fractional product rule, fractional formula Ito

Abstract

A fractional normal distribution is constructed. With the help of this new distribution, a fractional Brownian motion is defined. A generalization of the Ito stochastic integration is given and some stochastic properties are studied. Formula Ito and the product rule are generalized.

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Published

2024-12-12

How to Cite

Mahmoud M. El-Borai, & Khairia El-Said El-Nadi. (2024). On the Construction of a New Fractional Brownian Motion. Mathematics and Computer Science: Contemporary Developments Vol. 9, 52–60. https://doi.org/10.9734/bpi/mcscd/v9/3104

Issue

Mathematics and Computer Science: Contemporary Developments Vol. 9

Section

Chapters