Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions

DOI10.1080/17442508.2012.673615zbMath1303.60047OpenAlexW2064326281MaRDI QIDQ5410813

Yaozhong Hu

Publication date: 17 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2012.673615

zbMATH Keywords

Malliavin calculusfractional Brownian motionsfractional calculusHu-Meyer formulamultiple Stratonovich integraldifferential equations driven by rough pathesmultiple Itō integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear ordinary differential equations and systems (34A34) Fractional derivatives and integrals (26A33) Nonlinear differential equations in abstract spaces (34G20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Integrals of Riemann, Stieltjes and Lebesgue type (26A42) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Control/observation systems governed by ordinary differential equations (93C15) Series expansions (e.g., Taylor, Lidstone series, but not Fourier series) (41A58)

Related Items (6)

Itô type stochastic differential equations driven by fractional Brownian motions of Hurst parameter ⋮ The Global Maximum Principle for Optimal Control of Partially Observed Stochastic Systems Driven by Fractional Brownian Motion ⋮ Stochastic bounded consensus for multi-agent systems with fractional Brownian motions via sliding mode control ⋮ Taylor schemes for rough differential equations and fractional diffusions ⋮ Nonlinear Young Integrals via Fractional Calculus ⋮ Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion

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