Fractional stochastic differential equation with discontinuous diffusion

被引：12

作者：

Garzon, Johanna ^{[1
]}

Lenon, Jorge A. ^{[2
]}

Torres, Soledad ^{[3
]}

机构：

[1] Univ Nacl Colombia, Dept Matemat, Bogota, Colombia

[2] Cinvestav IPN, Dept Control Automat, Mexico City, DF, Mexico

[3] CIMFAV Univ Valparaiso, Fac Ingn, Castilla 123-V, Valparaiso 4059, Chile

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2017年 / 35卷 / 06期

关键词：

Fractional Brownian motion; fractional calculus; pathwise differential equations; young integral; BROWNIAN-MOTION; RESPECT;

D O I：

10.1080/07362994.2017.1358643

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this article, we study a class of stochastic differential equations driven by a fractional Brownian motion with H > 1/2 and a discontinuous coefficient in the diffusion. We prove existence and uniqueness for the solution of these equations. This is a first step to define a fractional version of the skew Brownian motion.

引用

页码：1113 / 1123

页数：11

共 9 条

[1] The wavelet-based synthesis for fractional Brownian motion - Proposed by F. Sellan and Y. Meyer: Remarks and fast implementation [J].