کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1155143 958449 2008 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A singular stochastic differential equation driven by fractional Brownian motion
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
A singular stochastic differential equation driven by fractional Brownian motion
چکیده انگلیسی

In this paper we study a singular stochastic differential equation driven by an additive fractional Brownian motion with Hurst parameter H>12. Under some assumptions on the drift, we show that there is a unique solution, which has moments of all orders. We also apply the techniques of Malliavin calculus to prove that the solution has an absolutely continuous law at any time t>0t>0.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 78, Issue 14, 1 October 2008, Pages 2075–2085
نویسندگان
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