# Differential equations driven by fractional Brownian motion.

Collectanea Mathematica (2002)

- Volume: 53, Issue: 1, page 55-81
- ISSN: 0010-0757

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topNualart, David, and Rascanu, Aurel. "Differential equations driven by fractional Brownian motion.." Collectanea Mathematica 53.1 (2002): 55-81. <http://eudml.org/doc/42846>.

@article{Nualart2002,

abstract = {A global existence and uniqueness result of the solution for multidimensional, time dependent, stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/2 is proved. It is shown, also, that the solution has finite moments. The result is based on a deterministic existence and uniqueness theorem whose proof uses a contraction principle and a priori estimates.},

author = {Nualart, David, Rascanu, Aurel},

journal = {Collectanea Mathematica},

keywords = {Ecuaciones diferenciales estocásticas; Movimiento browniano; stochastic differential equations; fractional Brownian motion},

language = {eng},

number = {1},

pages = {55-81},

title = {Differential equations driven by fractional Brownian motion.},

url = {http://eudml.org/doc/42846},

volume = {53},

year = {2002},

}

TY - JOUR

AU - Nualart, David

AU - Rascanu, Aurel

TI - Differential equations driven by fractional Brownian motion.

JO - Collectanea Mathematica

PY - 2002

VL - 53

IS - 1

SP - 55

EP - 81

AB - A global existence and uniqueness result of the solution for multidimensional, time dependent, stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/2 is proved. It is shown, also, that the solution has finite moments. The result is based on a deterministic existence and uniqueness theorem whose proof uses a contraction principle and a priori estimates.

LA - eng

KW - Ecuaciones diferenciales estocásticas; Movimiento browniano; stochastic differential equations; fractional Brownian motion

UR - http://eudml.org/doc/42846

ER -

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