Analog of the Kolmogorov equations for one-dimensional stochastic differential equations controlled by fractional Brownian motion with Hurst exponent H (0,1)

DOI10.1134/S0012266122010025zbMATH Open1498.60240OpenAlexW4226479336WikidataQ115249031 ScholiaQ115249031MaRDI QIDQ2117968FDOQ2117968

Authors: M. M. Vas'kovskii 

Publication date: 22 March 2022

Published in: Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0012266122010025

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zbMATH Keywords

Hurst exponentKolmogorov equations

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cites Work

• Stochastic calculus for fractional Brownian motion and related processes.
• Title not available (Why is that?)
• Differential equations driven by rough signals
• Controlling rough paths
• Operators associated with a stochastic differential equation driven by fractional Brownian motions
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3
• Existence and uniqueness of solutions of differential equations weakly controlled by rough paths with an arbitrary positive Hölder exponent
• Stability of solutions of stochastic differential equations weakly controlled by rough paths with arbitrary positive Hölder exponent

Cited In (1)

• Existence and uniqueness of strong solutions of mixed-type stochastic differential equations driven by fractional Brownian motions with Hurst exponents \(H>1/4 \)

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