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).