A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter

Given a fractional Brownian motion , with Hurst parameter , we study the properties of all solutions of A different stochastic calculus is required for the process because it is not a semimartingale.

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Year of publication:	2011
Authors:	Diop, Mamadou Abdoul ; Ouknine, Youssef
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 8, p. 1013-1020
Publisher:	Elsevier
Keywords:	Linear stochastic differential equation Fractional Brownian motion Stochastic calculus Ito formula

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009143246