Journal of Applied Mathematics and Stochastic Analysis
Volume 16 (2003), Issue 2, Pages 97-119

Fractional differential equations driven by Lévy noise

V. V. Anh and R. McVinish

Centre in Statistical Science and Industrial Mathematics, Queensland University of Technology, GPO Box 2434, Brisbane QLD 4001, Australia

Received 1 May 2001; Revised 1 January 2003

Copyright © 2003 V. V. Anh and R. McVinish. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


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.