Kolmogorov equation and large-time behaviour for fractional Brownian motion driven linear SDE's.

DOI10.1007/s10492-005-0004-4zbMath1099.60040OpenAlexW2074722270MaRDI QIDQ851662

Michal Vyoral

Publication date: 21 November 2006

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/33205

zbMATH Keywords

Kolmogorov backwards equationlinear stochastic equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cites Work

• Itô's formula with respect to fractional Brownian motion and its application
• Integration with respect to fractal functions and stochastic calculus. I
• Stochastic analysis of the fractional Brownian motion
• A parabolic stochastic differential equation with fractional Brownian motion input
• Evolution equations driven by a fractional Brownian motion
• Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
• The existence and uniqueness of the solution of an integral equation driven by a \(p\)-semimartin\-gale of special type.
• FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
• LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
• Fractional Langevin Equation
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Fractional Brownian Motions, Fractional Noises and Applications

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