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Title:
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Differential equations driven by fractional Brownian motion
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Author:
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Nualart, David, 1951-; Rascanu, Aurel
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Other authors:
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Universitat de Barcelona |
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Abstract:
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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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Subject(s):
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-Equacions diferencials
-Anàlisi estocàstica
-Processos de moviment brownià
-Differential equations
-Stochastic analysis
-Brownian motion processes |
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Rights:
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(c) Universitat de Barcelona, 2002
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Document type:
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Article
Article - Published version |
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Published by:
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Universitat de Barcelona
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