Stochastic differential equations driven by fractional Brownian motions

DOI10.3150/08-BEJ169zbMath1214.60024arXiv0909.0893OpenAlexW3101291937MaRDI QIDQ605027

Jin Ma, Yu-Juan Jien

Publication date: 12 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.0893

zbMATH Keywords

stochastic differential equationfractional Brownian motionSkorokhod integralGirsanov transformationanticipating stochastic calculus

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (5)

Stochastic controls of fractional Brownian motion ⋮ Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\) ⋮ Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion ⋮ Fractional stochastic differential equations with applications to finance ⋮ Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts

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