| Autor: |
Đorđević, Jasmina, Øksendal, Bernt |
| Rok vydání: |
2023 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
The aim of this paper is to analyse a WIS-stochastic differential equation driven by fractional Brownian motion with H>0.5. For this, we summarise the theory of fractional white noise and prove a fundamental L^2-estimate for WIS-integrals. We apply this to prove the existence and uniqueness of a solution in L^2(P) of a WIS-stochastic differential equation driven fractional Brownian motion with H>0.5 under Lipschitz conditions on its coefficients. |
| Databáze: |
arXiv |
| Externí odkaz: |
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