Change of measure in fractional stochastic differential equation

Document Type : Research Paper


1 Universirty of Al-Qadisiyah, Iraq

2 {Universirty of Al-Qadisiyah, Iraq


Change of measure is a very well known common criterion in both the probability rules and applications. The change of measure is a transformation from actual measure to equivalent measure. We will employ the change of measure in Fractional Stochastic Differential Equations (FSDE), which is a general form of Stochastic Differential Equation (SDE). We will implement our method to some important examples, like, Fractional Brownian Motion (FBM) and Fractional Levy process (FL).


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Volume 13, Issue 1
March 2022
Pages 3475-3478
  • Receive Date: 10 September 2021
  • Revise Date: 27 October 2021
  • Accept Date: 13 November 2021