Properties of solutions of stochastic differential equations with standard and fractional Brownian motions

DOI10.1134/S0012266116080024MaRDI QIDQ730386zbMATHFDO

Authors A. A. Levakov, M. M. Vas'kovskii

Publication date 27 December 2016

Published in Differential Equations (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionstochastic differential equationsstandard Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motions and with discontinuous coefficients
• Some properties of the solution of stochastic differential equations
• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motion, discontinuous coefficients, and a partly degenerate diffusion operator
• Properties of solutions to stochastic differential equations driven by Wiener process and fractional Brownian motion
• On the existence of solutions for stochastic differential equations driven by fractional Brownian motion

Cites work

• Differential equations driven by fractional Brownian motion
• Existence of solutions of stochastic differential inclusions with standard and fractional Brownian motions
• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motion, discontinuous coefficients, and a partly degenerate diffusion operator
• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motions and with discontinuous coefficients
• Integration with respect to fractal functions and stochastic calculus. I
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• Stochastic calculus for fractional Brownian motion and related processes.

Cited in

(11)

• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motion, discontinuous coefficients, and a partly degenerate diffusion operator
• Existence and uniqueness of strong solutions of mixed-type stochastic differential equations driven by fractional Brownian motions with Hurst exponents \(H>1/4 \)
• Stability of linear stochastic differential equations of mixed type with fractional Brownian motions
• Existence and uniqueness of solutions of differential equations weakly controlled by rough paths with an arbitrary positive Hölder exponent
• Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3
• On stochastic continuity of generalized diffusion processes constructed as the strong solution to an SDE
• Finiteness of moments of solutions to mixed-type stochastic differential equations driven by standard and fractional Brownian motions
• Continuous dependence of solutions of stochastic differential equations driven by standard and fractional Brownian motion on a parameter
• Some properties of the solution of stochastic differential equations
• scientific article; zbMATH DE number 5220425 (Why is no real title available?)
• Properties of solutions to stochastic differential equations driven by Wiener process and fractional Brownian motion

This page was built for publication: Properties of solutions of stochastic differential equations with standard and fractional Brownian motions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q730386)