Existence and measurability of the solution of the stochastic differential equations driven by fractional Brownian motion
type: Item
instance of: scholarly article
title: Existence and measurability of the solution of the stochastic differential equations driven by fractional Brownian motion
zbMATH Open document ID: 1196.60108
author: B. E. Eshmatov
published in: Bulletin of the Iranian Mathematical Society
publication date: 2010-06-07T00:00:00Z
review text: From authors abstract: The existence and measurability of solutions for stochastic differential equations driven by fractional Brownian motion with Hurst parameter greater than 1/2 is proved.The main equation is approximated by delayed equations as in Peano method used for ODEs.The constructive nature of the proofs helps to develop some numerical methods for solving such SDEs.
reviewed by: Constantin Vârsan
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60G12
zbMATH DE Number: 5716970
zbMATH Keywords: Fractional Brownian Motion
zbMATH Keywords: Stochastic Differetial Equations
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 5716970