A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter

Mamadou Abdoul Diop and Youssef Ouknine

Statistics & Probability Letters, 2011, vol. 81, issue 8, 1013-1020

Abstract: Given a fractional Brownian motion , with Hurst parameter , we study the properties of all solutions of A different stochastic calculus is required for the process because it is not a semimartingale.

Keywords: Linear; stochastic; differential; equation; Fractional; Brownian; motion; Stochastic; calculus; Ito; formula (search for similar items in EconPapers)
Date: 2011
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