Stochastic differential equations driven by fractional Brownian motion

被引：6

作者：

Xu, Liping ^{[1
]}

Luo, Jiaowan ^{[2
]}

机构：

[1] Yangtze Univ, Sch Informat & Math, Jingzhou 434023, Hubei, Peoples R China

[2] Guangzhou Univ, Sch Math & Informat Sci, Guangzhou 510006, Guangdong, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2018年 / 142卷

关键词：

Stochastic differential equation; Fractional Brownian motion; Comparison theorem;

D O I：

10.1016/j.spl.2018.06.012

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we are concerned with a class of stochastic differential equations driven by fractional Brownian motion with Hurst parameter 1/2 < H < 1. By approximation arguments and a comparison theorem, we prove the existence of solutions to this kind of equations driven by fractional Brownian motion under the linear growth condition. Subsequently, by employing Skorokhod's selection theorem, we study the variation of solution to this kind of equations driven by fractional Brownian motion with respect to the initial data. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：102 / 108

页数：7

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