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A new financial chaotic model in Atangana-Baleanu stochastic fractional differential equations

Authors :
Sunil Kumar
Muhammad Altaf Khan
Chen Liping
Abdon Atangana
Source :
Alexandria Engineering Journal, Vol 60, Iss 6, Pp 5193-5204 (2021)
Publication Year :
2021
Publisher :
Elsevier BV, 2021.

Abstract

We formulate and analyze a new financial chaotic model in fractional stochastic differential equation in Atangana-Baleanu operator. The model is constructed initially in integer case and then the application of fractional and stochastic approach are used for the model generalization. We study with care some of the mathematical results for the model in integer case by identifying the suitable values of parameters and initial values for the state variables for which the model behaves chaotic. Further, using the concept of stochastic differential equation, the model is further extended to the stochastic fractional differential equations. The equilibriums possibly the model posses are shown and analyzed. Lyapanove exponent are investigated for the model. We give a new method that is introduced recently in literature to find the model solution numerically for the case of fractional stochastic differential equation. We obtained many interesting graphical results for the model by considering different scenarios.

Details

ISSN :
11100168
Volume :
60
Database :
OpenAIRE
Journal :
Alexandria Engineering Journal
Accession number :
edsair.doi.dedup.....c9a9f760662df56df00a0eddca93f9d6
Full Text :
https://doi.org/10.1016/j.aej.2021.04.023