A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter (Q552993)
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scientific article
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| English | A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter |
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A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter (English)
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26 July 2011
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linear stochastic differential equation
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fractional Brownian motion
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stochastic calculus
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Itô formula
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0.8674172759056091
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0.8635632395744324
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0.8631975054740906
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0.8616715669631958
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