JACOBI PROCESSES DRIVEN BY FRACTIONAL BROWNIAN MOTION

被引：0

作者：

Nguyen Tien Dung ^{[1
]}

机构：

[1] Fpt Univ, Dept Math, Hanoi, Vietnam

来源：

TAIWANESE JOURNAL OF MATHEMATICS | 2014年 / 18卷 / 03期

关键词：

Jacobi processes; Fractional Brownian motion; Malliavin calculus; STOCHASTIC DIFFERENTIAL-EQUATIONS; FRACTAL FUNCTIONS; EXCHANGE-RATES; CALCULUS; INTEGRATION; RESPECT;

D O I：

10.11650/tjm.18.2014.3288

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper we study a Jacobi equation driven by fractional Brownian motion with Hurst index H is an element of (1/2, 1). We first prove the existence and uniqueness of the solution. Then we investigate Malliavin differentiability and smoothness of the density of the solution. Finally, we point out that the solution can be approximated by semimartingales.

引用

页码：835 / 848

页数：14

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