Time integral about solution of an uncertain fractional order differential equation and application to zero-coupon bond model

作者：

Highlights：

• Present time integral theorems for uncertain fractional differential equations.

• Propose the zero-coupon bond price for a novel uncertain interest model.

• Provide the analytic expression of the price for fractional mean-reverting model.

• Sensitivity analysis of the price for fractional standard deviation model.

摘要

•Present time integral theorems for uncertain fractional differential equations.•Propose the zero-coupon bond price for a novel uncertain interest model.•Provide the analytic expression of the price for fractional mean-reverting model.•Sensitivity analysis of the price for fractional standard deviation model.

论文关键词：Fractional order differential equation,Uncertainty distribution,Time integral,Zero-coupon bond,Mean-reverting model,Standard deviation model,

论文评审过程：Received 28 June 2019, Revised 1 December 2019, Accepted 15 December 2019, Available online 3 January 2020, Version of Record 3 January 2020.

论文官网地址：https://doi.org/10.1016/j.amc.2019.124991