Differential equations driven by fractional Brownian motion


Autoria(s): Nualart, David, 1951-; Rascanu, Aurel
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

http://hdl.handle.net/2445/16906

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