Estimates for the solution to stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H (13, 12)
From MaRDI portal
Publication:3173987
Recommendations
- Onsager-Machlup functional for the fractional Brownian motion
- A singular stochastic differential equation driven by fractional Brownian motion
- Differential equations driven by Hölder continuous functions of order greater than \(1/2\)
- Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
- Maximum upper bounds for the moments of stochastic integrals and solutions of stochastic differential equations that have fractional Brownian motion with Hurst index \(H<1/2\). II.
Cites work
- A version of Hörmander's theorem for the fractional Brownian motion
- An inequality of the Hölder type, connected with Stieltjes integration
- Approximations of the Brownian rough path with applications to stochastic analysis
- Controlling rough paths
- Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
- Large deviations and support theorem for diffusion processes via rough paths.
- Multidimensional stochastic processes as rough paths. Theory and applications.
- Non-degeneracy of Wiener functionals arising from rough differential equations
- Rough path analysis via fractional calculus
- Rough path limits of the Wong-Zakai type with a modified drift term
- Semi-martingales and rough paths theory
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- System Control and Rough Paths
Cited in
(28)- A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion
- Local unstable manifolds for stochastic dynamical systems with fractional noise with Hurst index in \((1/3,1/2]\): a fractional calculus approach
- Delay equations with non-negativity constraints driven by a Hölder continuous function of order \(\beta\in\left(\frac{1}{3},\frac{1}{2}\right)\)
- BACKWARD REPRESENTATION OF THE ROUGH INTEGRAL: AN APPROACH BASED ON FRACTIONAL CALCULUS
- Precise local estimates for differential equations driven by fractional Brownian motion: hypoelliptic case
- Integration of controlled rough paths via fractional calculus
- Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter \(H> \frac12\)
- Baxter estimates of the Hurst parameter of fractional Brownian motion
- Strong approximation for fractional wave equation forced by fractional Brownian motion with Hurst parameter \(H \in ( 0 , \frac{1}{2} )\)
- Differential equations driven by Hölder continuous functions of order greater than \(1/2\)
- On nonlinear rough paths
- Integrals along rough paths via fractional calculus
- Semilinear fractional stochastic differential equations driven by a \(\gamma\)-Hölder continuous signal with \(\gamma > 2/3\)
- Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions
- scientific article; zbMATH DE number 6159449 (Why is no real title available?)
- Integration with respect to Hölder rough paths of order greater than 1/4: an approach via fractional calculus
- Onsager-Machlup functional for the fractional Brownian motion
- \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \)
- Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
- Sensitivity of rough differential equations: an approach through the omega lemma
- Averaging principle for fast-slow system driven by mixed fractional Brownian rough path
- Forward integration of bounded variation coefficients with respect to Hölder continuous processes
- Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3
- Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by \(H\)-valued fractional Brownian motion
- A proof of the additivity of rough integral
- Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes
- Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2
- Maximum upper bounds for the moments of stochastic integrals and solutions of stochastic differential equations that have fractional Brownian motion with Hurst index \(H<1/2\). II.
This page was built for publication: Estimates for the solution to stochastic differential equations driven by a fractional Brownian motion with Hurst parameter \(H \in (\frac13, \frac12)\)
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3173987)
