Nonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion

DOI10.1080/07362990601051930zbMath1119.60049OpenAlexW1994219921MaRDI QIDQ3423696

Kiyomasa Narita

Publication date: 15 February 2007

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

Full work available at URL: https://doi.org/10.1080/07362990601051930

zbMATH Keywords

Wick productFractional Brownian motionExplosion timeFractional Itô-integral

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic integral equations (60H20)

Related Items (1)

Uniqueness and explosion time of solutions of stochastic differential equations driven by fractional Brownian motion

Cites Work

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• No explosion criteria for stochastic differential equations
• Remarks on non explosion theorem for stochastic differential equations
• A stochastic maximum principle for processes driven by fractional Brownian motion.
• The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach¹
• On the prediction of fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion I. Theory

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