Stochastic differential equations driven by fractional Brownian motion

DOI10.1016/j.spl.2018.06.012zbMath1406.60090OpenAlexW2883063521MaRDI QIDQ1726714

Luo, Jiaowan, Li-Ping Xu

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.06.012

zbMATH Keywords

stochastic differential equationfractional Brownian motioncomparison theorem

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Stochastic controls of fractional Brownian motion, Unnamed Item

Cites Work

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