Currently displaying 1 – 1 of 1

Showing per page

Order by Relevance | Title | Year of publication

Kolmogorov equation and large-time behaviour for fractional Brownian motion driven linear SDE's

Michal Vyoral — 2005

Applications of Mathematics

We consider a stochastic process X t x which solves an equation d X t x = A X t x d t + Φ d B t H , X 0 x = x where A and Φ are real matrices and B H is a fractional Brownian motion with Hurst parameter H ( 1 / 2 , 1 ) . The Kolmogorov backward equation for the function u ( t , x ) = 𝔼 f ( X t x ) is derived and exponential convergence of probability distributions of solutions to the limit measure is established.

Page 1

Download Results (CSV)