Stochastic differential equations with fractal noise

DOI10.1002/mana.200310295zbMath1075.60075OpenAlexW2107145451MaRDI QIDQ5463655

Martina Zähle

Publication date: 5 August 2005

Published in: Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mana.200310295

zbMATH Keywords

Besov spaceforward integralquadratic variation processanticipating stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (12)

Regularization of differential equations by two fractional noises ⋮ Rough differential equations driven by signals in Besov spaces ⋮ A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise ⋮ Fractional Brownian motion with two-variable Hurst exponent ⋮ Multilevel Monte Carlo for stochastic differential equations with additive fractional noise ⋮ Stochastic Volterra equation driven by Wiener process and fractional Brownian motion ⋮ Convergence of a numerical scheme associated to stochastic differential equations with fractional Brownian motion ⋮ Existence and uniqueness for solutions of mixed stochastic delay differential equations ⋮ Weak solutions to stochastic differential equations driven by fractional brownian motion ⋮ Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion ⋮ Forward integrals and SDE with fractal noise ⋮ Mixed fractional stochastic differential equations with jumps

Cites Work

• Integration with respect to fractal functions and stochastic calculus. I
• On fractional Brownian processes
• Forward, backward and symmetric stochastic integration
• The generalized covariation process and Itô formula
• Integration with respect to Fractal Functions and Stochastic Calculus II
• LONG RANGE DEPENDENCE, NO ARBITRAGE AND THE BLACK–SCHOLES FORMULA
• Stochastic calculus with respect to continuous finite quadratic variation processes

This page was built for publication: Stochastic differential equations with fractal noise