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

DOI10.1016/J.SPL.2011.02.013zbMATH Open1223.60042arXiv1107.3790OpenAlexW2591996161WikidataQ115341087 ScholiaQ115341087MaRDI QIDQ552993FDOQ552993

Authors: Mamadou Abdoul Diop, Youssef Ouknine 

Publication date: 26 July 2011

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

Abstract: Given a fractional Brownian motion ,,$(B_t^H{)}_{tgeq0}$,, with Hurst parameter ,$>1/2$,,we study the properties of all solutions of ,,: {equation} X_{t}=B_{t}^{H}+int_0^t X_{u}dmu(u), ;; 0leq tleq 1{equation} A different stochastic calculus is required for the process because it is not a semimartingale.

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

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zbMATH Keywords

fractional Brownian motionlinear stochastic differential equationstochastic calculusItô formula

Mathematics Subject Classification ID

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

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Cited In (18)

• Fractional Brownian flows
• Analog of the Kolmogorov equations for one-dimensional stochastic differential equations controlled by fractional Brownian motion with Hurst exponent \(H\in (0,1)\)
• The Mandelbrot-Van Ness fractional Brownian motion is infinitely differentiable with respect to its Hurst parameter
• Kolmogorov equation and large-time behaviour for fractional Brownian motion driven linear SDE's.
• Fractional stochastic Volterra equation perturbed by fractional Brownian motion
• Impact of correlated noises on additive dynamical systems
• Strong approximation for fractional wave equation forced by fractional Brownian motion with Hurst parameter \(H \in ( 0 , \frac{1}{2} )\)
• Some differential systems driven by a fBm with Hurst parameter greater than \(1/4\)
• Some linear fractional stochastic equations
• Moment estimates for solutions of linear stochastic differential equations driven by analytic fractional Brownian motion
• SDE solutions, at small times, driven by fractional Brownian motions.
• Onsager-Machlup functional for the fractional Brownian motion
• On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion
• Some bilinear stochastic equations with a fractional Brownian motion
• A linearized Kuramoto-Sivashinsky PDE via an imaginary-Brownian-time-Brownian-angle process
• Stochastic bounded consensus for multi-agent systems with fractional Brownian motions via sliding mode control
• Time reversal for drifted fractional Brownian motion with Hurst index \(H > 1/2\)
• Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2

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