| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1152500 | Statistics & Probability Letters | 2011 | 8 Pages |
Abstract
Given a fractional Brownian motion (BtH)t≥0, with Hurst parameter >12, we study the properties of all solutions of equation(1)Xt=BtH+∫0tXudμ(u),0≤t≤1. A different stochastic calculus is required for the process because it is not a semimartingale.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Mamadou Abdoul Diop, Youssef Ouknine,