Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2
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Abstract: In this paper we use the chaos decomposition approach to establish the existence of a unique continuous solution to linear fractional differential equations of the Skorohod type. Here the coefficients are deterministic, the inital condition is anticipating and the underlying fractional Brownian motion has Hurst parameter less than 1/2. We provide an explicit expression for the chaos decomposition of the solution in order to show our results.
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Cited in
(18)- Fractional Bilinear Stochastic Equations with the Drift in the First Fractional Chaos
- T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion
- EXISTENCE CRITERIA FOR SOLUTIONS OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH SKEW-SYMMETRIC DIFFERENTIAL OPERATOR AND ADDITIVE FRACTIONAL BROWNIAN NOISE
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- Stabilization of delayed neutral semi-Markovian jumping stochastic systems driven by fractional Brownian motions: \(H_\infty\) control approach
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