Itô type stochastic differential equations driven by fractional Brownian motions of Hurst parameter

DOI10.1080/17442508.2017.1415342zbMath1498.60215arXiv1610.01137OpenAlexW2963196323MaRDI QIDQ5086444

Yaozhong Hu

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.01137

zbMATH Keywords

global solutionfractional Brownian motionsdifferential equationcontraction principleItô formulaMalliavin derivativeexistence and uniqueness of solutionmodified Picard iterationcharacteristic curve equationItô type stochasticItô type stochastic integrallinear and quasilinear equations

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Wong–Zakai approximations for quasilinear systems of Itô's-type stochastic differential equations driven by fBm with H > 1 2, Wong-Zakai approximations for quasilinear systems of Itô's type stochastic differential equations, Existence and uniqueness of mild solution to fractional stochastic heat equation

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