Fractional stochastic differential equation with discontinuous diffusion
Author:
Affiliation:
1. Departamento de Matemáticas, Universidad Nacional de Colombia, Bogotá, Colombia
2. Departamento de Control Automático, Cinvestav-IPN, Ciudad de México, Mexico
3. Facultad de Ingeniería, CIMFAV Universidad de Valparaíso, Valparaiso, Chile
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07362994.2017.1358643
Reference9 articles.
1. The Wavelet-Based Synthesis for Fractional Brownian Motion Proposed by F. Sellan and Y. Meyer: Remarks and Fast Implementation
2. On hedging European options in geometric fractional Brownian motion market model
3. Stochastic differential equations driven by fractional Brownian motion and Poisson point process
4. On the constructions of the skew Brownian motion
5. Weak solutions for stochastic differential equations with additive fractional noise
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