Stochastic differential equations with fractal noise
نویسندگان
چکیده
منابع مشابه
Stochastic differential equations with fractal noise
Stochastic differential equations in R with random coefficients are considered where one continuous driving process admits a generalized quadratic variation process. The latter and the other driving processes are assumed to possess sample paths in the fractional Sobolev space W β 2 for some β > 1/2. The stochastic integrals are determined as anticipating forward integrals. A pathwise solution p...
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ژورنال
عنوان ژورنال: Mathematische Nachrichten
سال: 2005
ISSN: 0025-584X
DOI: 10.1002/mana.200310295