Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion

DOI10.1023/A:1018754806993zbMath0970.60045arXivmath/0005147MaRDI QIDQ5927964

Anastasia A. Ruzmaikina

Publication date: 19 March 2001

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0005147

zbMATH Keywords

fractional Brownian motionstochastic differential equationsStieltjes integrals

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Related Items (33)

Extensions of the sewing lemma with applications ⋮ Nonautonomous Young differential equations revisited ⋮ Existence and Uniqueness of the Solution of Stochastic Differential Equation Involving Wiener Process and Fractional Brownian Motion with Hurst IndexH > 1/2 ⋮ Trees and asymptotic expansions for fractional stochastic differential equations ⋮ Stochastic differential equations driven by fractional Brownian motions ⋮ Nonlinear integral equations with respect to functions having bounded \(p\)-variation ⋮ Averaging method for neutral stochastic delay differential equations driven by fractional Brownian motion ⋮ On mixed fractional stochastic differential equations with discontinuous drift coefficient ⋮ Geometric aspects of Young integral: decomposition of flows ⋮ Rough differential equations driven by signals in Besov spaces ⋮ OPTIMAL CONTROL FOR ROUGH DIFFERENTIAL EQUATIONS ⋮ On the two-parameter fractional Brownian motion and Stieltjes integrals for Hölder functions. ⋮ Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion ⋮ Ergodic theory for SDEs with extrinsic memory ⋮ Exact null controllability of Sobolev-type Hilfer fractional stochastic differential equations with fractional Brownian motion and Poisson jumps ⋮ A new inequality for the Riemann-Stieltjes integrals driven by irregular signals in Banach spaces ⋮ On the exponential process associated with a CARMA-type process ⋮ The Lamperti Transforms of Self-Similar Gaussian Processes and Their Exponentials ⋮ Weak and strong discrete-time approximation of fractional SDEs ⋮ Maximal Inequalities for Fractional Brownian Motion: An Overview ⋮ The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes ⋮ The existence and uniqueness of the solution of an integral equation driven by a \(p\)-semimartin\-gale of special type. ⋮ A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter ⋮ Controlled differential equations as Young integrals: a simple approach ⋮ Fractional noise destroys or induces a stochastic bifurcation ⋮ Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion ⋮ Unnamed Item ⋮ A Geometric Drift Inequality for a Reflected Fractional Brownian Motion Process on the Positive Orthant ⋮ Asymptotic properties of MLE for partially observed fractional diffusion system with dependent noises ⋮ Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2 ⋮ Inequalities for the \(\mathbb L^p\) norms of integrals with respect to a fractional Brownian motion ⋮ A generalized change of variable formula for the Young integral ⋮ Mixed fractional stochastic differential equations with jumps

This page was built for publication: Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion