A singular stochastic differential equation driven by fractional Brownian motion-Reference-Cited by-同舟云学术

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A singular stochastic differential equation driven by fractional Brownian motion

Published:2008-10 Issue:14 Volume:78 Page:2075-2085
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Hu Yaozhong,Nualart David,Song Xiaoming

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference19 articles.

1. On a SDE driven by a fractional Brownian motion and with monotone drift;Boufoussi;Electron. Comm. Probab.,2003

2. Dirichlet forms and analysis on Wiener space;Bouleau,1991

3. A theory of term structure of interest rates;Cox;Econometrica,1985

4. Stochastic Analysis of the Fractional Brownian Motion;Decreusefond;Potential Anal.,1998

5. On squared fractional Brownian motions;Eisenbaum,2005

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2. Numerical method for singular drift stochastic differential equation driven by fractional Brownian motion;Journal of Computational and Applied Mathematics;2024-09

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