Some differential systems driven by a fBm with Hurst parameter greater than 1/4
Probability
2009-01-15 v1
Abstract
This note is devoted to show how to push forward the algebraic integration setting in order to treat differential systems driven by a noisy input with H\"older regularity greater than 1/4. After recalling how to treat the case of ordinary stochastic differential equations, we mainly focus on the case of delay equations. A careful analysis is then performed in order to show that a fractional Brownian motion with Hurst parameter H>1/4 fulfills the assumptions of our abstract theorems.
Cite
@article{arxiv.0901.2010,
title = {Some differential systems driven by a fBm with Hurst parameter greater than 1/4},
author = {Samy Tindel and Iván Torrecilla},
journal= {arXiv preprint arXiv:0901.2010},
year = {2009}
}
Comments
32 pages