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