Estimates for the solution to stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H (13, 12)
DOI10.1142/S0219493711003267zbMATH Open1231.60049OpenAlexW2171187349MaRDI QIDQ3173987FDOQ3173987
Publication date: 11 October 2011
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219493711003267
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Cites Work
- Controlling rough paths
- An inequality of the Hölder type, connected with Stieltjes integration
- Multidimensional Stochastic Processes as Rough Paths
- Rough path analysis via fractional calculus
- System Control and Rough Paths
- A version of Hörmander's theorem for the fractional Brownian motion
- Non-degeneracy of Wiener functionals arising from rough differential equations
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
- Rough path limits of the Wong-Zakai type with a modified drift term
- Large deviations and support theorem for diffusion processes via rough paths.
- Approximations of the Brownian rough path with applications to stochastic analysis
- Semi-martingales and rough paths theory
Cited In (22)
- 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
- Integration of controlled rough paths via fractional calculus
- Baxter estimates of the Hurst parameter of fractional Brownian motion
- Strong approximation for fractional wave equation forced by fractional Brownian motion with Hurst parameter \(H \in ( 0 , \frac{1}{2} )\)
- Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter \(H> \frac12\)
- On nonlinear rough paths
- Integrals along rough paths via fractional calculus
- Title not available (Why is that?)
- Upper bounds for the density of solutions to stochastic differential equations driven by fractional Brownian motions
- 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 \(0 < H < \frac{1}{2} \)
- Sensitivity of rough differential equations: an approach through the omega lemma
- Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
- 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
- Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by \(H\)-valued fractional Brownian motion
- Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3
- 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
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