Stochastic differential equations with fractal noise

DOI10.1002/mana.200310295zbMath1075.60075MaRDI QIDQ5463655

Martina Zähle

Publication date: 5 August 2005

Published in: Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mana.200310295

zbMATH Keywords

Besov space; forward integral; quadratic variation process; anticipating stochastic differential equation

Mathematics Subject Classification ID

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

34F05: Ordinary differential equations and systems with randomness

60H05: Stochastic integrals

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

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Regularization of differential equations by two fractional noises, Forward integrals and SDE with fractal noise, Multilevel Monte Carlo for stochastic differential equations with additive fractional noise, Rough differential equations driven by signals in Besov spaces, Stochastic Volterra equation driven by Wiener process and fractional Brownian motion, Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion, Existence and uniqueness for solutions of mixed stochastic delay differential equations, Fractional Brownian motion with two-variable Hurst exponent, A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise, Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion, Mixed fractional stochastic differential equations with jumps, Weak solutions to stochastic differential equations driven by fractional brownian motion

Cites Work

• Integration with respect to fractal functions and stochastic calculus. I
• On fractional Brownian processes
• Forward, backward and symmetric stochastic integration
• The generalized covariation process and Itô formula
• Integration with respect to Fractal Functions and Stochastic Calculus II
• LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
• Stochastic calculus with respect to continuous finite quadratic variation processes