Analog of the Kolmogorov equations for one-dimensional stochastic differential equations controlled by fractional Brownian motion with Hurst exponent \(H\in (0,1)\)
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Publication:2117968
DOI10.1134/S0012266122010025zbMath1498.60240OpenAlexW4226479336WikidataQ115249031 ScholiaQ115249031MaRDI QIDQ2117968
Publication date: 22 March 2022
Published in: Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1134/s0012266122010025
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)
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- Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3
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