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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- A. Neuenkirch, I. Nourdin, A. Rößler, S. Tindel, Trees and asymptotic expansions for fractional stochastic differential equations
- Michal Vyoral, Kolmogorov equation and large-time behaviour for fractional Brownian motion driven linear SDE's
- A. Deya, A. Neuenkirch, S. Tindel, A Milstein-type scheme without Lévy area terms for SDEs driven by fractional brownian motion
- Mihai Gradinaru, Ivan Nourdin, Milstein’s type schemes for fractional SDEs
- Fabrice Baudoin, Cheng Ouyang, Samy Tindel, Upper bounds for the density of solutions to stochastic differential equations driven by fractional brownian motions
- David Nualart, Stochastic calculus with respect to fractional Brownian motion
- J. Šnupárková, Weak solutions to stochastic differential equations driven by fractional Brownian motion
- Laure Coutin, Rough paths via sewing Lemma
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