Properties of solutions of stochastic differential equations with standard and fractional Brownian motions

DOI10.1134/S0012266116080024zbMath1354.60060MaRDI QIDQ730386

M. M. Vas'kovskii, A. A. Levakov

Publication date: 27 December 2016

Published in: Differential Equations (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionstochastic differential equationsstandard Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Related Items (4)

Finiteness of moments of solutions to mixed-type stochastic differential equations driven by standard and fractional Brownian motions ⋮ Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3 ⋮ Stability of linear stochastic differential equations of mixed type with fractional Brownian motions ⋮ Existence and uniqueness of solutions of differential equations weakly controlled by rough paths with an arbitrary positive Hölder exponent

Cites Work

• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motion, discontinuous coefficients, and a partly degenerate diffusion operator
• Existence of solutions of stochastic differential inclusions with standard and fractional Brownian motions
• Integration with respect to fractal functions and stochastic calculus. I
• Differential equations driven by fractional Brownian motion
• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motions and with discontinuous coefficients
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• Stochastic Calculus for Fractional Brownian Motion and Applications

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