SDE solutions, at small times, driven by fractional Brownian motions

被引：4

作者：

Baudoin, F ^{[1
]}

Coutin, L ^{[1
]}

机构：

[1] Univ Toulouse 3, Lab Probabil & Stat, F-31062 Toulouse, France

来源：

COMPTES RENDUS MATHEMATIQUE | 2005年 / 341卷 / 01期

关键词：

D O I：

10.1016/j.crma.2005.05.010

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We study, in small times, the properties of the operator P-t(f)(x) = E(f (X-t(x))), where (X-t(x))t >= 0 is the solution of a stochastic differential equation driven by fractional Brownian motions with the same Hurst parameter H >1/4.

引用

页码：39 / 42

页数：4

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