Regularization of differential equations by fractional noise

David Nualart and Youssef Ouknine

Stochastic Processes and their Applications, 2002, vol. 102, issue 1, 103-116

Abstract: Let {BtH,t[set membership, variant][0,T]} be a fractional Brownian motion with Hurst parameter H. We prove the existence and uniqueness of a strong solution for a stochastic differential equation of the form , where b(s,x) is a bounded Borel function with linear growth in x (case ) or a Hölder continuous function of order strictly larger than 1-1/2H in x and than in time (case ).

Keywords: Fractional; Brownian; motion; Stochastic; integrals; Malliavin; calculus (search for similar items in EconPapers)
Date: 2002
References: View complete reference list from CitEc
Citations: View citations in EconPapers (25)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(02)00155-2
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:102:y:2002:i:1:p:103-116

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().