Fractional integral equations and state space transforms
نویسندگان
چکیده
منابع مشابه
Fractional Integral Equations and State Space Transforms
We introduce a class of stochastic differential equations driven by fractional Brownian motion (FBM), which allow for a constructive method in order to obtain stationary solutions. This leads to a substantial extention of fractional Ornstein-Uhlenbeck processes. Structural properties of this class of new models are investigated. Their stationary densities are given explicitly. Short title: Frac...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2006
ISSN: 1350-7265
DOI: 10.3150/bj/1151525129