Existence and measurability of the solution of the stochastic differential equations driven by fractional Brownian motion (Q974688)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Existence and measurability of the solution of the stochastic differential equations driven by fractional Brownian motion |
scientific article; zbMATH DE number 5716970
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Existence and measurability of the solution of the stochastic differential equations driven by fractional Brownian motion |
scientific article; zbMATH DE number 5716970 |
Statements
Existence and measurability of the solution of the stochastic differential equations driven by fractional Brownian motion (English)
0 references
7 June 2010
0 references
From authors abstract: The existence and measurability of solutions for stochastic differential equations driven by fractional Brownian motion with Hurst parameter greater than 1/2 is proved.The main equation is approximated by delayed equations as in Peano method used for ODEs.The constructive nature of the proofs helps to develop some numerical methods for solving such SDEs.
0 references
Fractional Brownian Motion
0 references
Stochastic Differetial Equations
0 references
