STOCHASTIC VOLTERRA EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION WITH HURST PARAMETER H > 1/2

DOI10.1142/S0219493712500049zbMath1261.60066arXiv1003.1584OpenAlexW2159848637MaRDI QIDQ3144365

Carles Rovira, Mireia Besalú

Publication date: 7 December 2012

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1003.1584

zbMATH Keywords

fractional Brownian motionRiemann-Stieltjes integralstochastic Volterra equations

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20)

Related Items

Stochastic differential equations with nonnegativity constraints driven by fractional Brownian motion ⋮ Existence and smoothness of the density of the solution to fractional stochastic integral Volterra equations ⋮ Weak convergence for a class of stochastic fractional equations driven by fractional noise ⋮ Stochastic Volterra equation driven by Wiener process and fractional Brownian motion ⋮ Semilinear fractional stochastic differential equations driven by a γ-Hölder continuous signal with γ > 2/3 ⋮ Time fractional stochastic differential equations driven by pure jump Lévy noise

Cites Work

• Convergence of delay differential equations driven by fractional Brownian motion
• Rough Volterra equations. II: Convolutional generalized integrals
• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• Gradient type noises. II: Systems of stochastic partial differential equations
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• Evolution equations driven by a fractional Brownian motion
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• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• Anticipating stochastic Volterra equations
• An inequality of the Hölder type, connected with Stieltjes integration
• Integration with respect to Fractal Functions and Stochastic Calculus II
• Multidimensional Stochastic Processes as Rough Paths
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• ROUGH VOLTERRA EQUATIONS 1: THE ALGEBRAIC INTEGRATION SETTING

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