Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness

DOI10.15559/16-VMSTA69zbMath1355.60073arXiv1701.01244MaRDI QIDQ502544

Youssef Ouknine, Oussama El Barrimi

Publication date: 5 January 2017

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.01244

zbMATH Keywords

fractional Brownian motionstochastic differential equationspathwise uniqueness

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (3)

Unnamed Item ⋮ Euler approximation and stability of the solution to stochastic differential equations with jumps under pathwise uniqueness ⋮ Stochastic differential equations driven by fractional Brownian motion

Cites Work

• Unnamed Item
• Unnamed Item
• Stochastic analysis of the fractional Brownian motion
• Seminar on probability XXXII
• Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift
• Regularization of differential equations by fractional noise.
• The Malliavin Calculus and Related Topics
• Fractional Brownian Motions, Fractional Noises and Applications

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