Stochastic differential equations for fractional Brownian motions

被引：20

作者：

Coutin, L ^{[1
]}

Qian, ZM ^{[1
]}

机构：

[1] Univ Toulouse 3, Lab Stat & Probabilites, F-31062 Toulouse 4, France

来源：

COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 2000年 / 331卷 / 01期

关键词：

D O I：

10.1016/S0764-4442(00)01594-9

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We construct via dyadic approximations a canonical geometric rough path in the sense of [7] associated to a fractional Brownian motion with Hurst parameter h, h epsilon]1/4, 1/2[. Therefore, we obtain a Wong-Zakai type approximation theorem for solutions of stochastic differential equations driven by these fractional Brownian motions. (C) 2000 Academie des sciences/Editions scientifiques et medicales Elsevier SAS.

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页码：75 / 80

页数：6

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