The fBm Itô's formula through analytic continuation.

Feyel, D.; de La Pradelle, A.

Displaying similar documents to “The fBm Itô's formula through analytic continuation.”

Itô's formula with respect to fractional Brownian motion and its application.

Dai, W., Heyde, C.C. (1996)

Journal of Applied Mathematics and Stochastic Analysis

Similarity:

Stochastic bilinear equations with fractional Gaussian noise in Hilbert space

J. Šnupárková (2010)

Acta Universitatis Carolinae. Mathematica et Physica

Similarity:

Smoothness of the law of the supremum of the fractional Brownian motion.

Lanjri Zadi, Noureddine, Nualart, David (2003)

Electronic Communications in Probability [electronic only]

Similarity:

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

Michal Vyoral (2005)

Applications of Mathematics

Similarity:

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 $H \in (1 / 2, 1)$ . 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.