Forward integrals and SDE with fractal noise

DOI10.1090/CONM/731/14679MaRDI QIDQ5239186zbMATH OpenOpenAlexFDO

Authors Erik Schneider, Martina Zähle

Publication date 22 October 2019

Published in Horizons of Fractal Geometry and Complex Dimensions (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/conm/731/14679

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Ordinary differential equations and systems with randomness (34F05) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• Stochastic differential equations with fractal noise
• Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift
• Integration with respect to fractal functions and stochastic calculus. II
• Rough path analysis via fractional calculus
• Ordinary differential equations with fractal noise

Cites work

• A fractional calculus approach to rough integration
• Differential equations driven by fractional Brownian motion
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• Forward, backward and symmetric stochastic integration
• Fractional derivatives of Weierstrass-type functions
• Fractional processes as models in stochastic finance
• Gradient-type noises I–partial and hybrid integrals
• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 3721834 (Why is no real title available?)
• scientific article; zbMATH DE number 3560487 (Why is no real title available?)
• scientific article; zbMATH DE number 1971735 (Why is no real title available?)
• Integration with respect to fractal functions and stochastic calculus. I
• Integration with respect to fractal functions and stochastic calculus. II
• LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
• Mixed stochastic delay differential equations
• Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions
• On fractional Brownian processes
• On the gap between deterministic and stochastic ordinary differential equations
• Ordinary differential equations: an introduction
• Rough path analysis via fractional calculus
• Stieltjes integration and stochastic calculus with respect to self-affine functions
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic calculus with respect to continuous finite quadratic variation processes
• Stochastic calculus with respect to fractional Brownian motion
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• Stochastic differential equations with fractal noise
• The generalized covariation process and Itô formula

Cited in

(3)

• Perturbations of singular fractional SDEs
• Forward integration of bounded variation coefficients with respect to Hölder continuous processes
• Variability of paths and differential equations with \(\mathrm{BV}\)-coefficients

This page was built for publication: Forward integrals and SDE with fractal noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5239186)