Linear stochastic differential equations driven by a fractional Brownian motion with Hurst parameter less than 1/2
Abstract
In this article, we use the chaos decomposition approach to establish the existence of a unique continuous solution to linear fractional differential equations of the Skorohod type. Here, the coefficients are deterministic, the initial condition is anticipating and the underlying fractional Brownian motion has Hurst parameter less than 1/2. We provide an explicit expression for the chaos decomposition of the solution in order to show our results.
Más información
Título según WOS: | Linear stochastic differential equations driven by a fractional Brownian motion with Hurst parameter less than 1/2 |
Título según SCOPUS: | Linear stochastic differential equations driven by a fractional Brownian motion with hurst parameter less than 1/2 |
Título de la Revista: | STOCHASTIC ANALYSIS AND APPLICATIONS |
Volumen: | 25 |
Número: | 1 |
Editorial: | TAYLOR & FRANCIS INC |
Fecha de publicación: | 2007 |
Página de inicio: | 105 |
Página final: | 126 |
Idioma: | English |
URL: | http://www.tandfonline.com/doi/abs/10.1080/07362990601052052 |
DOI: |
10.1080/07362990601052052 |
Notas: | ISI, SCOPUS |