STOCHASTIC VOLTERRA EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION WITH HURST PARAMETER H > 1/2

被引：5
作者：
Besalu, Mireia [1 ]
Rovira, Carles [1 ]
机构：
[1] Univ Barcelona, Fac Matemat, E-08007 Barcelona, Spain
来源：
STOCHASTICS AND DYNAMICS | 2012年 / 12卷 / 04期
关键词：
Stochastic Volterra equations; fractional Brownian motion; Riemann-Stieltjes integral; DIFFERENTIAL-EQUATIONS; FRACTAL FUNCTIONS; INTEGRATION; CALCULUS; RESPECT;
D O I：
10.1142/S0219493712500049
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this note we prove an existence and uniqueness result of solution for stochastic Volterra integral equations driven by a fractional Brownian motion with Hurst parameter H > 1/2, showing also that the solution has finite moments. The stochastic integral with respect to the fractional Brownian motion is a pathwise Riemann-Stieltjes integral.
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页数：24
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