Existence and uniqueness theorems for fBm stochastic differential equations

zbMATH Open0924.60042MaRDI QIDQ1290834FDOQ1290834

Vo V. Anh, Marina Kleptsyna, Peter E. Kloeden

Publication date: 14 November 1999

Published in: Problems of Information Transmission (Search for Journal in Brave)

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zbMATH Keywords

fractional Brownian motionstochastic ordinary differential equations

Mathematics Subject Classification ID

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

Cited In (16)

• Pathwise uniqueness of solutions of SDE in a fractional Brownian environment
• Stochastic calculus with respect to Gaussian processes
• Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
• A parabolic stochastic differential equation with fractional Brownian motion input
• Possible long-range dependence in fractional random fields.
• On mixed fractional stochastic differential equations with discontinuous drift coefficient
• Title not available (Why is that?)
• Variational solutions for a class of fractional stochastic partial differential equations
• A simple theory for the study of SDEs driven by a fractional Brownian motion, in dimension one
• Tanaka formula for the fractional Brownian motion.
• Approximation of stochastic differential equations with modified fractional Brownian motion
• Existence and uniqueness for solutions of one dimensional SDE'<scp>s</scp> driven by an additive fractional noise
• The existence and uniqueness of the solution of an integral equation driven by a \(p\)-semimartin\-gale of special type.
• Existence and uniqueness for stochastic age-dependent population with fractional Brownian motion
• Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
• Variational solutions for partial differential equations driven by a fractional noise

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