Convergence of delay differential equations driven by fractional Brownian motion

DOI10.1007/s00028-010-0069-8zbMath1239.60040arXiv0903.5498OpenAlexW2122274076MaRDI QIDQ423433

Marco Ferrante, Carles Rovira

Publication date: 2 June 2012

Published in: Journal of Evolution Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0903.5498

zbMATH Keywords

fractional Brownian motionRiemann-Stieltjes integralstochastic differential delay equations

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites Work

• Malliavin calculus for fractional delay equations
• Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter \(H> \frac12\)
• Delay equations driven by rough paths
• Integration with respect to fractal functions and stochastic calculus. I
• Differential equations driven by fractional Brownian motion
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• An inequality of the Hölder type, connected with Stieltjes integration

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