Mutual intersection for rough differential systems driven by fractional Brownian motions

Cheng Ouyang, Yinghui Shi and Dongsheng Wu

Statistics & Probability Letters, 2018, vol. 135, issue C, 83-91

Abstract: Let XH and XK be solutions to two stochastic differential equations driven by independent fractional Brownian motions with Hurst parameters H and K, respectively. We study when XH and XK intersect with each other over a finite time interval. We also derive Hausdorff and packing dimension results for the set of intersection times of XH and XK.

Keywords: Fractional Brownian motion; Rough differential systems; Mutual intersection (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spl.2017.11.012

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