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
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Dai, W., Heyde, C.C. (1996)
Journal of Applied Mathematics and Stochastic Analysis
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J. Šnupárková (2010)
Acta Universitatis Carolinae. Mathematica et Physica
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Lanjri Zadi, Noureddine, Nualart, David (2003)
Electronic Communications in Probability [electronic only]
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Michal Vyoral (2005)
Applications of Mathematics
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We consider a stochastic process which solves an equation where and are real matrices and is a fractional Brownian motion with Hurst parameter . The Kolmogorov backward equation for the function is derived and exponential convergence of probability distributions of solutions to the limit measure is established.