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Stochastic differential equations driven by fractional Brownian motion

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  • Xu, Liping
  • Luo, Jiaowan

Abstract

In this paper, we are concerned with a class of stochastic differential equations driven by fractional Brownian motion with Hurst parameter 1∕2

Suggested Citation

  • Xu, Liping & Luo, Jiaowan, 2018. "Stochastic differential equations driven by fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 142(C), pages 102-108.
    • Handle: RePEc:eee:stapro:v:142:y:2018:i:c:p:102-108
    DOI: 10.1016/j.spl.2018.06.012
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    References listed on IDEAS

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    1. Lepeltier, J. P. & San Martin, J., 1997. "Backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 32(4), pages 425-430, April.
    2. Nualart, David & Ouknine, Youssef, 2002. "Regularization of differential equations by fractional noise," Stochastic Processes and their Applications, Elsevier, vol. 102(1), pages 103-116, November.
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    Cited by:

    1. Zhang, Shuo & Liu, Lu & Xue, Dingyu, 2020. "Nyquist-based stability analysis of non-commensurate fractional-order delay systems," Applied Mathematics and Computation, Elsevier, vol. 377(C).

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