Stochastic integrals and stochastic differential equations, which contain fractional Brownian field

MaRDI QIDQ3607394zbMATH OpenFDO

Authors Svitlana A. Il'Chenko, Yuliya S. Mishura

Publication date 28 February 2009

Full work available at URL http://www.ams.org/tpms/2007-75-00/S0094-9000-08-00717-5/home.html

zbMATH Keywords

stochastic differential equationsfractional Brownian fieldexistence and uniqueness theoremstochastic integrals with respect to fractional Brownian field

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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(2)

• Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion
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