Stochastic integration with respect to Volterra processes
L. Decreusefond (2005)
Annales de l'I.H.P. Probabilités et statistiques
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Displaying similar documents to “Stochastic integration with respect to fractional brownian motion”
Stochastic integration with respect to Volterra processes
Stochastic integral of divergence type with respect to fractional brownian motion with Hurst parameter
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Stochastic calculus with respect to fractional Brownian motion
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Fractional Brownian motion (fBm) is a centered self-similar Gaussian process with stationary increments, which depends on a parameter called the Hurst index. In this conference we will survey some recent advances in the stochastic calculus with respect to fBm. In the particular case , the process is an ordinary Brownian motion, but otherwise it is not a semimartingale and Itô calculus cannot be used. Different approaches have been introduced to construct stochastic integrals with...
Probability structure preserving and absolute continuity
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Ergodicity of hypoelliptic SDEs driven by fractional brownian motion
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We demonstrate that stochastic differential equations (SDEs) driven by fractional brownian motion with Hurst parameter >½ have similar ergodic properties as SDEs driven by standard brownian motion. The focus in this article is on hypoelliptic systems satisfying Hörmander’s condition. We show that such systems enjoy a suitable version of the strong Feller property and we conclude that under a standard controllability condition they admit a unique stationary solution that is physical...