Advances in Fuzzy Sets and Systems

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FUZZY ORNSTEIN-UHLENBECK AND BROWNIAN GEOMETRIC MOTION PROCESSES DRIVEN BY A FUZZY BROWNIAN MOTION

Authors

  • Kumwimba Seya Didier
  • Walo Omana Rebecca
  • Mabela Matendo Rostin
  • Badibi Omak Christopher
  • Kankolongo Kadilu Patient
  • Marcel Remon

Keywords:

fuzzy stochastic process, fuzzy Brownian motion, fuzzy Ornstein-Uhlenbeck process, fuzzy geometric Brownian motion, fuzzy differential stochastic equation.

DOI:

https://doi.org/10.17654/0973421X22005

Abstract

This paper presents two examples of fuzzy stochastic processes those are solutions of fuzzy differential equations driven by a fuzzy Brownian motion which we constructed in our previous work. These processes are named, respectively, the fuzzy Ornstein-Uhlenbeck process and the fuzzy Brownian geometric motion. All of them are defined in two cases: the first one with the non-fuzzy coefficients and the second with the fuzzy coefficients.

Received: February 2, 2022
Accepted: March 6, 2022

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Published

2022-04-07

Issue

Vol. 27 No. 1 (2022)

Section

Articles

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How to Cite

FUZZY ORNSTEIN-UHLENBECK AND BROWNIAN GEOMETRIC MOTION PROCESSES DRIVEN BY A FUZZY BROWNIAN MOTION. (2022). Advances in Fuzzy Sets and Systems, 27(1), 95-110. https://doi.org/10.17654/0973421X22005

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