Time reversal for drifted fractional Brownian motion with Hurst index H > 1/2

DOI10.1214/EJP.V12-439zbMATH Open1130.60044MaRDI QIDQ2462006FDOQ2462006

Authors: Sébastien Darses, Bruno Saussereau 

Publication date: 23 November 2007

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/128412

Recommendations

• Asymptotic expansions at any time for scalar fractional SDEs with Hurst index \(H>1/2\)
• A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter
• Generalized backward stochastic variational inequalities driven by a fractional Brownian motion
• Deconvolution of fractional brownian motion
• Representation of a fractional Brownian motion in terms of an infinite-dimensional Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (3)

• Representation formulae for the fractional Brownian motion
• Stochastic derivatives for fractional diffusions
• Time reversal of Volterra processes driven stochastic differential equations

This page was built for publication: Time reversal for drifted fractional Brownian motion with Hurst index \(H > 1/2\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2462006)