A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter >1/2
Probability
2011-07-20 v1
Abstract
Given a fractional Brownian motion \,\,,\, with Hurst parameter \,\,\,we study the properties of all solutions of \,\,: {equation} X_{t}=B_{t}^{H}+\int_0^t X_{u}d\mu(u), \;\; 0\leq t\leq 1{equation} A different stochastic calculus is required for the process because it is not a semimartingale.
Cite
@article{arxiv.1107.3790,
title = {A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter >1/2},
author = {Mamadou Abdoul Diop and Youssef Ouknine},
journal= {arXiv preprint arXiv:1107.3790},
year = {2011}
}