Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2

DOI10.1080/07362990601052052zbMath1108.60059arXivmath/0603636OpenAlexW2110102611MaRDI QIDQ3423698

Jaime San Martín, Jorge A. Leon

Publication date: 15 February 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0603636

zbMATH Keywords

chaotic representationfractional derivatives and integralsdivergence operator for Gaussian processes

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20)

Related Items (10)

T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion ⋮ Stochastic differential equations driven by fractional Brownian motions ⋮ Stabilization of delayed neutral semi-Markovian jumping stochastic systems driven by fractional Brownian motions: \(H_\infty\) control approach ⋮ \(H_\infty\) sampled-data control for uncertain fuzzy systems under Markovian jump and fBm ⋮ Non-linear rough heat equations ⋮ Stochastic heat equation with multiplicative fractional-colored noise ⋮ Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\) ⋮ Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion ⋮ Rough evolution equations ⋮ Fractional stochastic differential equations with applications to finance

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