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On differentiability of solution to
stochastic differential equation with
fractional brownian motion
Yu. S. Mishura, G. M. Shevchenko Department of Probability Theory and Mathematical Statistics,
Kyiv National Taras Shevchenko University, Kyiv, Ukraine
Аннотация:
Stochastic differential equation with pathwise integral with respect
to fractional Brownian motion is considered. For solution of such
equation, under different conditions, the Malliavin differentiability is
proved. Under infinite differentiability and boundedness of derivatives of the coefficients it is proved that the solution is infinitely
differentiable in the Malliavin sense with all derivatives bounded.
Ключевые слова:
Fractional Brownian motion, pathwise integral, stochastic
differential equation, Malliavin derivative.
Образец цитирования:
Yu. S. Mishura, G. M. Shevchenko, “On differentiability of solution to
stochastic differential equation with
fractional brownian motion”, Theory Stoch. Process., 13(29):2 (2007), 243–250
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp201 https://www.mathnet.ru/rus/thsp/v13/i2/p243
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Страница аннотации: | 63 | PDF полного текста: | 30 | Список литературы: | 10 |
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