EXISTENCE OF STRONG SOLUTIONS AND UNIQUENESS IN LAW FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION-Reference-Cited by-同舟云学术

EXISTENCE OF STRONG SOLUTIONS AND UNIQUENESS IN LAW FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION

Published:2009-09 Issue:03 Volume:09 Page:423-435
ISSN:0219-4937
Container-title:Stochastics and Dynamics
language:en
Short-container-title:Stoch. Dyn.

Author:

DUNCAN TYRONE¹,NUALART DAVID¹

Affiliation:

1. Department of Mathematics, University of Kansas, Lawrence, KS 66045, USA

Abstract

In this paper we establish the existence of pathwise solutions and the uniqueness in law for multidimensional stochastic differential equations driven by a multi-dimensional fractional Brownian motion with Hurst parameter H > 1/2.

Publisher

World Scientific Pub Co Pte Lt

Subject

Modelling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219493709002725

Reference12 articles.

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