Some stochastic control systems that are described by stochastic differential equations with a fractional Brownian motion are considered. The solutions of these systems are defined by weak solutions. These weak solutions are obtained by the transformation of the measure for a fractional Brownian motion by a Radon-Nikodym derivative. This weak solution approach is used to solve a control problem...

New physical and mathematical applications of recently invented fractional Poisson probability distribution have been presented. As a physical application, a new family of quantum coherent states have been introduced and studied. Mathematical applications are related to the number theory. We have developed fractional generalization of the Bell polynomials, the Bell numbers, and the Stirling num...

Abstract Fractional Brownian motion and the fractional Langevin equation are models of anomalous diffusion processes characterized by long-range power-law correlations in time. We employ large-scale computer simulations to study these two geometries, (i) spreading particles on a semi-infinite domain with an absorbing wall at one end (ii) stationary state finite interval boundaries both ends sou...

The purpose of this paper is to assess the risk premium a fractional financial lognormal (Black-Scholes or BS) process relative to a non-fractional and complete financial pricing model. While fractional Brownian BS models based on the Duncan and Wicks calculus were shown to define a no arbitrage financial model, this paper claim is that this martingale need not be the pricing martingale. There ...

This paper is concerned with a non-homogeneous in space and non-local in time random walk model for anomalous subdiffusive transport of cells. Starting with a Markov model involving a structured probability density function, we derive the non-local in time master equation and fractional equation for the probability of cell position. We derive the fractional Fokker-Planck equation for the densit...