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Fractional noise destroys or induces a stochastic bifurcation

Chaos, ISSN: 1054-1500, Vol: 23, Issue: 4, Page: 043120
2013
  • 12
    Citations
  • 0
    Usage
  • 10
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    12
    • Citation Indexes
      12
  • Captures
    10

Article Description

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. © 2013 AIP Publishing LLC.

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