Weak solutions for stochastic differential equations with additive fractional noise
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References listed on IDEAS
- 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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- Azmoodeh Ehsan & Mishura Yuliya & Valkeila Esko, 2009. "On hedging European options in geometric fractional Brownian motion market model," Statistics & Risk Modeling, De Gruyter, vol. 27(2), pages 129-144, December.
- Hu, Yaozhong & Nualart, David & Song, Xiaoming, 2008. "A singular stochastic differential equation driven by fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 78(14), pages 2075-2085, October.
More about this item
KeywordsFractional Brownian motion Stochastic differential equations Weak solutions Discontinuous drift;
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