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

DOI10.1016/j.spl.2011.02.013zbMath1223.60042arXiv1107.3790OpenAlexW2591996161WikidataQ115341087 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 motionstochastic calculusItô formulalinear stochastic differential equation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (2)

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

Cites Work

• Integration with respect to fractal functions and stochastic calculus. I
• On fractional Brownian processes
• An inequality of the Hölder type, connected with Stieltjes integration
• Arbitrage with Fractional Brownian Motion
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Fractional Brownian Motions, Fractional Noises and Applications
• Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter