Boundedness and convergence analysis of stochastic differential equations with Hurst Brownian motion

MaRDI QIDQ5214850zbMATH OpenFDO

Authors D. Ahmadian, Omid Farkhondeh Rouz

Publication date 5 February 2020

Full work available at URL http://www.spm.uem.br/bspm/pdf/vol38-5/12.pdf

zbMATH Keywords

boundednessconvergencefractional Brownian motionHurst parameter

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Recommendations

• Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion
• Stochastic differential equations with nonnegativity constraints driven by fractional Brownian motion
• Stochastic differential equations driven by fractional Brownian motion
• Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions
• Nonlocal fractional stochastic differential equations driven by fractional Brownian motion

Cites work

• A probabilistic analogue of the mean value theorem and its applications to reliability theory
• An introduction to stochastic differential equations
• Convergence analysis of semi-implicit Euler method for nonlinear stochastic delay differential equations of neutral type
• Convergence rate of CLT for the estimation of Hurst parameter of fractional Brownian motion
• Differential equations driven by fractional Brownian motion
• Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
• Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
• FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
• scientific article; zbMATH DE number 7027615 (Why is no real title available?)
• scientific article; zbMATH DE number 2217537 (Why is no real title available?)
• Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion
• Laplace transform and finite difference methods for the Black-Scholes equation
• Laplace transform inversion on the real line is truly ill-conditioned
• Numerical solution of stochastic fractional differential equations
• On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
• Stability analysis of linear distributed order fractional systems with distributed delays
• Stability analysis of neutral linear fractional system with distributed delays
• Stochastic analysis of fractional brownian motions
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
• Stochastic integration with respect to the fractional Brownian motion

Cited in

(3)

• Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: results and perspectives
• Stable Convergence of Certain Functionals of Diffusions Driven by fBm
• Mean square stability of numerical method for stochastic Volterra integral equations with double weakly singular kernels

This page was built for publication: Boundedness and convergence analysis of stochastic differential equations with Hurst Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5214850)