Existence and uniqueness theorems for fBm stochastic differential equations

MaRDI QIDQ1290834zbMATH OpenFDO

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

Publication date 14 November 1999

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

zbMATH Keywords

fractional Brownian motionstochastic ordinary differential equations

Mathematics Subject Classification ID

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

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Cited in

(17)

• Pathwise uniqueness of solutions of SDE in a fractional Brownian environment
• Stochastic calculus with respect to Gaussian processes
• Existence and uniqueness of SPDEs driven by nonlinear multiplicative mixed noise
• 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.
• scientific article; zbMATH DE number 2034523 (Why is no real title available?)
• On mixed fractional stochastic differential equations with discontinuous drift coefficient
• 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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