Differential equations driven by fractional Brownian motion.
David Nualart, Aurel Rascanu (2002)
Collectanea Mathematica
Similarity:
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.