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2002

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/16906

Differential equations driven by fractional Brownian motion

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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.

Subject

Equacions diferencials, Anàlisi estocàstica, Processos de moviment brownià

Subject (English)

Differential equations, Stochastic analysis, Brownian motion processes

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Articles publicats en revistes (Genètica, Microbiologia i Estadística)

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NUALART, David and RASCANU, Aurel. Differential equations driven by fractional Brownian motion. Collectanea Mathematica. 2002. Vol. 53, num. 1, pags. 55-81. ISSN 0010-0757. [consulted: 8 of June of 2026]. Available at: https://hdl.handle.net/2445/16906

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