Moment estimates for solutions of linear stochastic differential equations driven by analytic fractional Brownian motion

DOI10.1214/ECP.v15-1574zbMath1226.60091arXiv0905.0782MaRDI QIDQ638218

Jérémie M. Unterberger

Publication date: 9 September 2011

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0905.0782

zbMATH Keywords

fractional Brownian motionstochastic differential equationsHölder continuityChen seriesrough pathsanalytic fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) General second-order stochastic processes (60G12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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