Differential equations driven by fractional Brownian motion

• Autores: Aurel Rascanu, David Nualart Rodón
• Localización: Collectanea mathematica, ISSN 0010-0757, Vol. 53, Fasc. 1, 2002, págs. 55-82
• Idioma: inglés
• Títulos paralelos:
  • Ecuaciones diferenciales regidas por movimiento browniano fraccional
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• Resumen

  • A global existence and uniqueness result of the solution for multidimensional, time dependent, stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/2 is proved. It is shown, also, that the solution has finite moments. The result is based on a deterministic existence and uniqueness theorem whose proof uses a contraction principle and a priori estimates.