The Mandelbrot-Van Ness fractional Brownian motion is infinitely differentiable with respect to its Hurst parameter

DOI10.3934/DCDSB.2018334MaRDI QIDQ2321087zbMATH OpenOpenAlexWikidataFDO

Authors Stefan Koch, A. Neuenkirch

Publication date 28 August 2019

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdsb.2018334

zbMATH Keywords

continuous dependencefractional Brownian motionHurst parameterstochastic differential equation

Mathematics Subject Classification ID

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

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Cited in

(7)

• Smoothness of the law of the supremum of the fractional Brownian motion
• SPDEs with linear multiplicative fractional noise: continuity in law with respect to the Hurst index
• Kolmogorov distance between the exponential functionals of fractional Brownian motion
• Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by H-valued fractional Brownian motion
• Lipschitz continuity in the Hurst index of the solutions of fractional stochastic volterra integro-differential equations
• Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
• Long-time Hurst regularity of fractional stochastic differential equations and their ergodic means

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