On differentiability of solution to stochastic differential equation with fractional Brownian motion
Vernadsky National Library of Ukraine
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
On differentiability of solution to stochastic differential equation with fractional Brownian motion
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| Creator |
Mishura, Yu.S.
Shevchenko, G.M. |
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| Description |
Stochastic differential equation with pathwise integral with respect to fractional Brownian motion is considered. For solution of such equation, under different conditions, the Malliavin differentiability is proved. Under infinite differentiability and boundedness of derivatives of the cofficients it is proved that the solution is infinitely differentiable in the Malliavin sense with all derivatives bounded.
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| Date |
2009-11-19T10:24:47Z
2009-11-19T10:24:47Z 2007 |
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| Type |
Article
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| Identifier |
On differentiability of solution to stochastic differential equation with fractional Brownian motion / Yu.S. Mishura, G.M. Shevchenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 243-250. — Бібліогр.: 10 назв.— англ.
0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4493 |
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| Language |
en
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| Publisher |
Інститут математики НАН України
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