Existence and measurability of the solution of the stochastic differential equations driven by fractional Brownian motion (Q974688)
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scientific article; zbMATH DE number 5716970
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| English | Existence and measurability of the solution of the stochastic differential equations driven by fractional Brownian motion |
scientific article; zbMATH DE number 5716970 |
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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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0.8832151889801025
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0.8826392292976379
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0.8755568861961365
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0.8651059865951538
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0.8539887070655823
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