Local times of stochastic differential equations driven by fractional Brownian motions

DOI10.1016/j.spa.2017.03.013zbMath1381.60094arXiv1602.07272OpenAlexW2962822513MaRDI QIDQ2408998

Cheng Ouyang, Shuwen Lou

Publication date: 10 October 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.07272

zbMATH Keywords

stochastic differential equationfractional Brownian motionlocal time

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Local time and additive functionals (60J55)

Related Items (3)

Density bounds for solutions to differential equations driven by Gaussian rough paths ⋮ Local times for systems of non-linear stochastic heat equations ⋮ Distributional It\^o's Formula and Regularization of Generalized Wiener Functionals

Cites Work

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