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

convergencefractional Brownian motionboundednessHurst 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)

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Cites work

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• scientific article; zbMATH DE number 2217537 (Why is no real title available?)
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• Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
• FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
• 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
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• Stability analysis of linear distributed order fractional systems with distributed delays
• Stability analysis of neutral linear fractional system with distributed delays
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic analysis of fractional brownian motions
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• 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

(2)

• Stable Convergence of Certain Functionals of Diffusions Driven by fBm
• Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: results and perspectives

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