Operators associated with a stochastic differential equation driven by fractional Brownian motions

DOI10.1016/J.SPA.2006.09.004zbMath1119.60043arXivmath/0509511OpenAlexW2159994677WikidataQ115341179 ScholiaQ115341179MaRDI QIDQ877719

Laure Coutin, Fabrice Baudoin

Publication date: 3 May 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0509511

zbMATH Keywords

stochastic differential equationfractional Brownian motionrough paths theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (35)

Trees and asymptotic expansions for fractional stochastic differential equations ⋮ ENTROPY FLOW AND DE BRUIJN'S IDENTITY FOR A CLASS OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION ⋮ Skorohod and Stratonovich integrals for controlled processes ⋮ On probability laws of solutions to differential systems driven by a fractional Brownian motion ⋮ Weak approximation of a fractional SDE ⋮ Fokker-Planck type equations associated with subordinated processes controlled by tempered \(\alpha \)-stable processes ⋮ Smooth density for some nilpotent rough differential equations ⋮ Fractional Fokker-Planck-Kolmogorov equations associated with SDEs on a bounded domain ⋮ Autosimilar Lévy processes on Lie groups ⋮ Cubature Method for Stochastic Volterra Integral Equations ⋮ Laplace approximation for rough differential equation driven by fractional Brownian motion ⋮ On inference for fractional differential equations ⋮ A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion ⋮ Unnamed Item ⋮ Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions ⋮ Modelling nematode movement using time-fractional dynamics ⋮ A stochastic Taylor-like expansion in the rough path theory ⋮ Impact of correlated noises on additive dynamical systems ⋮ Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3 ⋮ Multilevel Monte Carlo for stochastic differential equations with additive fractional noise ⋮ Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions ⋮ Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion ⋮ Fractional Brownian flows ⋮ Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motions ⋮ The rough path associated to the multidimensional analytic fBm with any Hurst parameter ⋮ Discretizing the fractional Lévy area ⋮ Controlled differential equations as Young integrals: a simple approach ⋮ Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes ⋮ Asymptotic expansions at any time for scalar fractional SDEs with Hurst index \(H>1/2\) ⋮ Unnamed Item ⋮ A martingale approach for fractional Brownian motions and related path dependent PDEs ⋮ Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion ⋮ On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\) ⋮ Existence and uniqueness of solutions of differential equations weakly controlled by rough paths with an arbitrary positive Hölder exponent ⋮ Analog of the Kolmogorov equations for one-dimensional stochastic differential equations controlled by fractional Brownian motion with Hurst exponent \(H\in (0,1)\)

Cites Work

• The Campbell-Baker-Hausdorff-Dynkin formula and solutions of differential equations
• Stochastic flows and Taylor series
• On the gap between deterministic and stochastic ordinary differential equations
• Integration with respect to fractal functions and stochastic calculus. I
• Differential equations driven by rough signals
• Asymptotic expansion of stochastic flows
• Differential equations driven by fractional Brownian motion
• Ergodicity of stochastic differential equations driven by fractional Brownian motion
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• Good rough path sequences and applications to anticipating stochastic calculus
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• An inequality of the Hölder type, connected with Stieltjes integration
• System Control and Rough Paths
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Operators associated with a stochastic differential equation driven by fractional Brownian motions