Fractional stochastic differential equation with discontinuous diffusion. Issue 6 (2nd November 2017)
- Record Type:
- Journal Article
- Title:
- Fractional stochastic differential equation with discontinuous diffusion. Issue 6 (2nd November 2017)
- Main Title:
- Fractional stochastic differential equation with discontinuous diffusion
- Authors:
- Garzón, Johanna
León, Jorge A.
Torres, Soledad - Abstract:
- ABSTRACT: In this article, we study a class of stochastic differential equations driven by a fractional Brownian motion with H > 1/2 and a discontinuous coefficient in the diffusion. We prove existence and uniqueness for the solution of these equations. This is a first step to define a fractional version of the skew Brownian motion.
- Is Part Of:
- Stochastic analysis and applications. Volume 35:Issue 6(2017)
- Journal:
- Stochastic analysis and applications
- Issue:
- Volume 35:Issue 6(2017)
- Issue Display:
- Volume 35, Issue 6 (2017)
- Year:
- 2017
- Volume:
- 35
- Issue:
- 6
- Issue Sort Value:
- 2017-0035-0006-0000
- Page Start:
- 1113
- Page End:
- 1123
- Publication Date:
- 2017-11-02
- Subjects:
- Fractional Brownian motion -- fractional calculus -- pathwise differential equations -- young integral
60G22 -- 60H10
Stochastic analysis -- Periodicals
519.2205 - Journal URLs:
- http://www.tandfonline.com/toc/lsaa20/current ↗
http://www.tandfonline.com/ ↗ - DOI:
- 10.1080/07362994.2017.1358643 ↗
- Languages:
- English
- ISSNs:
- 0736-2994
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 8465.250000
British Library DSC - BLDSS-3PM
British Library STI - ELD Digital store - Ingest File:
- 7720.xml