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http://hdl.handle.net/2445/16906| Title: | Differential equations driven by fractional Brownian motion |
| Author: | Nualart, David, 1951- Rascanu, Aurel |
| Keywords: | Equacions diferencials Anàlisi estocàstica Processos de moviment brownià Differential equations Stochastic analysis Brownian motion processes |
| Issue Date: | 2002 |
| Publisher: | Universitat de Barcelona |
| Abstract: | 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. |
| Note: | Reproducció del document publicat a: http://www.collectanea.ub.edu/index.php/Collectanea/article/view/4012/4915 |
| It is part of: | Collectanea Mathematica, 2002, vol. 53, num. 1, p. 55-81 |
| URI: | http://hdl.handle.net/2445/16906 |
| ISSN: | 0010-0757 |
| Appears in Collections: | Articles publicats en revistes (Genètica, Microbiologia i Estadística) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| noidgcm05.pdf | 216.04 kB | Adobe PDF | View/Open |
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