Existence and uniqueness theorems for fBm stochastic differential equations (Q1290834): Difference between revisions
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Latest revision as of 03:48, 5 March 2024
scientific article
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English | Existence and uniqueness theorems for fBm stochastic differential equations |
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Existence and uniqueness theorems for fBm stochastic differential equations (English)
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14 November 1999
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Conditions are identified and then proofs are given that establish existence and uniqueness of the solution of stochastic ordinary differential equations of the following two forms: \[ dX_t= a(t,X_t)dt+ b(t,X_t)dB_t^h, \qquad X_0=x, \tag{1} \] where \(B_t^h\) is a scalar fractional Brownian motion with Hurst index \(h\) between \(\frac 12\) and 1, \[ dX_t= a(t,X_t)dt+ dB_t^h, \qquad X_0=x, \tag{2} \] where \(B_t^h\) is a \(d\)-dimensional vector fractional Brownian motion with Hurst index \(h\) between \(\frac 12\) and 1.
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stochastic ordinary differential equations
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fractional Brownian motion
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