Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter H > 1/2
Probability
2010-03-09 v1
Abstract
In this note we prove an existence and uniqueness result of solution for stochastic Volterra integral equations driven by a fractional Brownian motion with Hurst parameter H > 1/2, showing also that the solution has finite moments. The stochastic integral with respect to the fractional Brownian motion is a pathwise Riemann-Stieltjes integral.
Keywords
Cite
@article{arxiv.1003.1584,
title = {Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter H > 1/2},
author = {Mireia Besalú and Carles Rovira},
journal= {arXiv preprint arXiv:1003.1584},
year = {2010}
}