Fractional stochastic di↵erential equations with discontinuous diffusion coeffi�cient: Existence, Uniqueness and inference.

Torres, Soledad; Bertin, Karine

Keywords: stochastic differential equations, long memory, fractional brownian motion

Abstract

This proposal aims to give a better understanding of the existence and uniqueness of the solutions of 1-dimensional stochastic differential equations (SDEs), driven by Fractional Brownian motion, where the diffusion coeficient is discontinuous and / or with singularities, and we consider here H > 1/2.

Más información

Fecha de publicación: 0
Año de Inicio/Término: 2017 -2021
Financiamiento/Sponsor: Fondecyt / Conicyt
DOI:

1171335