Journal of Applied Mathematics and Stochastic Analysis
Volume 16 (2003), Issue 2, Pages 97-119
doi:10.1155/S1048953303000078
Abstract
This paper considers a general class of fractional differential equations driven by Lévy noise. The singularity spectrum for these equations is obtained. This result allows to determine the conditions under which the solution is a semimartingale. The prediction
formula and a numerical scheme for approximating the sample paths of these equations
are given. Almost sure, uniform convergence of the scheme and some numerical results
are also provided.