A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter

DOI10.1016/j.spl.2011.02.013zbMath1223.60042arXiv1107.3790WikidataQ115341087 ScholiaQ115341087MaRDI QIDQ552993

Mamadou Abdoul Diop, Youssef Ouknine

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.3790

zbMATH Keywords

fractional Brownian motion; stochastic calculus; Itô formula; linear stochastic differential equation

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

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

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Impact of correlated noises on additive dynamical systems, Stochastic bounded consensus for multi-agent systems with fractional Brownian motions via sliding mode control

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