Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion

Zhi Li, Wentao Zhan and Liping Xu

Physica A: Statistical Mechanics and its Applications, 2019, vol. 530, issue C

Abstract: In this paper, we study a class of stochastic differential equations with a time-dependent diffusion driven by a fractional Brownian motion with Hurst parameter 1∕2Keywords: Stochastic differential equations; Fractional Brownian motion; Girsanov theorem (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:530:y:2019:i:c:s0378437119309252

DOI: 10.1016/j.physa.2019.121565

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