Nonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion
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Publication:3423696
DOI10.1080/07362990601051930zbMath1119.60049MaRDI QIDQ3423696
Publication date: 15 February 2007
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990601051930
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H05: Stochastic integrals
60H20: Stochastic integral equations
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Cites Work
- No explosion criteria for stochastic differential equations
- Remarks on non explosion theorem for stochastic differential equations
- A stochastic maximum principle for processes driven by fractional Brownian motion.
- The Pricing of Options With an Uncertain Interest Rate: A Discrete‐Time Approach1
- On the prediction of fractional Brownian motion
- Stochastic Calculus for Fractional Brownian Motion I. Theory
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