Existence and measurability of the solution of the stochastic differential equations driven by fractional Brownian motion (Q974688)
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| Language | Label | Description | Also known as |
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| English | Existence and measurability of the solution of the stochastic differential equations driven by fractional Brownian motion |
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Existence and measurability of the solution of the stochastic differential equations driven by fractional Brownian motion (English)
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7 June 2010
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From authors abstract: The existence and measurability of solutions for stochastic differential equations driven by fractional Brownian motion with Hurst parameter greater than 1/2 is proved.The main equation is approximated by delayed equations as in Peano method used for ODEs.The constructive nature of the proofs helps to develop some numerical methods for solving such SDEs.
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Fractional Brownian Motion
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Stochastic Differetial Equations
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