Differential equations driven by fractional Brownian motion
| Contribuinte(s) |
Universitat de Barcelona |
|---|---|
| Data(s) |
09/03/2011
|
| Resumo |
A global existence and uniqueness result of the solution for multidimensional, time dependent, stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H> is proved. It is shown, also, that the solution has finite moments. The result is based on a deterministic existence and uniqueness theorem whose proof uses a contraction principle and a priori estimates. |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Universitat de Barcelona |
| Direitos |
(c) Nualart, 2002 info:eu-repo/semantics/openAccess |
| Palavras-Chave | #Equacions diferencials #Anàlisi estocàstica #Processos de moviment brownià #Differential equations #Stochastic analysis #Brownian motion processes |
| Tipo |
info:eu-repo/semantics/article |