An Itô-Wentzell formula for the fractional Brownian motion
Fuente:
arXiv
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| Auteur principal: | |
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866929592886886400 |
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| author | Maia, Luís |
| author_facet | Maia, Luís |
| contents | We prove an Itô-Wentzell formula for the fractional Brownian motion. As an application we derive an existence and uniqueness result for a class of stochastic differential equations driven by this stochastic process. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2402_06328 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | An Itô-Wentzell formula for the fractional Brownian motion Maia, Luís Probability 60G22, 60H10 We prove an Itô-Wentzell formula for the fractional Brownian motion. As an application we derive an existence and uniqueness result for a class of stochastic differential equations driven by this stochastic process. |
| title | An Itô-Wentzell formula for the fractional Brownian motion |
| topic | Probability 60G22, 60H10 |
| url | https://arxiv.org/abs/2402.06328 |