Linear stochastic differential equations driven by a fractional Brownian motion with Hurst parameter less than 1/2

Leon, JA; San Martin, J

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