On the two-parameter fractional Brownian motion and Stieltjes integrals for Hölder functions. (Q1414233): Difference between revisions

There is a natural extension of the one-parameter fractional Brownian motion to the two-parameter case which is called the two-parameter fractional Brownian motion [\textit{A. Ayache}, \textit{S. Léger} and \textit{M. Pontier}, Potential Anal. 17, 31--43 (2002; Zbl 1006.60029); \textit{S. Léger} and \textit{M. Pontier}, C. R. Acad. Sci., Paris, Sér. I, Math. 329, 893--898 (1999; Zbl 0945.60047)]. As a consequence of an appropriate version of the Kolmogorov continuity [\textit{D. Feyel} and \textit{A. de La Pradelle}, Potential Anal. 10, 273--288 (1999; Zbl 0944.60045)] it follows that the process has Hölder paths. In particular, for a two-parameter fractional Brownian motion and a process with Hölder paths, one can define a pathwise stochastic integral. The authors extend the Stieltjes integral to Hölder functions of two variables. Then by using a contraction principle on the space of Hölder continuous functions, they prove a general existence and uniqueness theorem for the Darboux problem for ordinary differential equations with Hölder continuous forcing and for stochastic equations driven by a two-parameter fractional Brownian motion.