Stochastic differential equations driven by fractional Brownian motions
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Publication:605027
DOI10.3150/08-BEJ169zbMath1214.60024arXiv0909.0893OpenAlexW3101291937MaRDI QIDQ605027
Publication date: 12 November 2010
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0909.0893
stochastic differential equationfractional Brownian motionSkorokhod integralGirsanov transformationanticipating stochastic calculus
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Related Items (5)
Stochastic controls of fractional Brownian motion ⋮ 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 ⋮ Fractional stochastic differential equations with applications to finance ⋮ Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts
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