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
收藏
页码：39 / 42
页数：4
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