Differential equations driven by fractional Brownian motion
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 deterministi...
| Autores: | , |
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| Formato: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2002 |
| País: | España |
| Recursos: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repositorio: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/16906 |
| Acesso em linha: | https://hdl.handle.net/2445/16906 |
| Access Level: | acceso abierto |
| Palavra-chave: | Equacions diferencials Anàlisi estocàstica Processos de moviment brownià Differential equations Stochastic analysis Brownian motion processes |
| 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. |
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