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

DOI10.1134/S0012266116080024zbMATH Open1354.60060MaRDI QIDQ730386FDOQ730386

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

Publication date: 27 December 2016

Published in: Differential Equations (Search for Journal in Brave)

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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)

Cites Work

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

Cited In (11)

• Continuous dependence of solutions of stochastic differential equations driven by standard and fractional Brownian motion on a parameter
• Finiteness of moments of solutions to mixed-type stochastic differential equations driven by standard and fractional Brownian motions
• Some properties of the solution of stochastic differential equations
• On stochastic continuity of generalized diffusion processes constructed as the strong solution to an SDE
• 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 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 solutions of differential equations weakly controlled by rough paths with an arbitrary positive Hölder exponent
• Title not available (Why is that?)
• Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3
• Properties of solutions to stochastic differential equations driven by Wiener process and fractional Brownian motion

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