The Mandelbrot-Van Ness fractional Brownian motion is infinitely differentiable with respect to its Hurst parameter

DOI10.3934/DCDSB.2018334zbMath1420.60051OpenAlexW2909336620WikidataQ128418834 ScholiaQ128418834MaRDI QIDQ2321087

Stefan Koch, Andreas Neuenkirch

Publication date: 28 August 2019

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2018334

zbMATH Keywords

stochastic differential equationfractional Brownian motionHurst parametercontinuous dependence

Mathematics Subject Classification ID

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

Related Items (4)

Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by \(H\)-valued fractional Brownian motion ⋮ Lipschitz continuity in the Hurst index of the solutions of fractional stochastic volterra integro-differential equations ⋮ SPDEs with linear multiplicative fractional noise: continuity in law with respect to the Hurst index ⋮ Kolmogorov distance between the exponential functionals of fractional Brownian motion

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