On differentiability of solution to stochastic differential equation with fractional Brownian motion
Stochastic differential equation with pathwise integral with respect to fractional Brownian motion is considered. For solution of such equation, under different conditions, the Malliavin differentiability is proved. Under infinite differentiability and boundedness of derivatives of the cofficients i...
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| Видавець: | Інститут математики НАН України |
|---|---|
| Дата: | 2007 |
| Автори: | , |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2007
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4493 |
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| Цитувати: | On differentiability of solution to stochastic differential equation with fractional Brownian motion / Yu.S. Mishura, G.M. Shevchenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 243-250. — Бібліогр.: 10 назв.— англ. |
Репозиторії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
irk-123456789-4493 |
|---|---|
| record_format |
dspace |
| spelling |
irk-123456789-44932009-11-20T12:00:43Z On differentiability of solution to stochastic differential equation with fractional Brownian motion Mishura, Yu.S. Shevchenko, G.M. Stochastic differential equation with pathwise integral with respect to fractional Brownian motion is considered. For solution of such equation, under different conditions, the Malliavin differentiability is proved. Under infinite differentiability and boundedness of derivatives of the cofficients it is proved that the solution is infinitely differentiable in the Malliavin sense with all derivatives bounded. 2007 Article On differentiability of solution to stochastic differential equation with fractional Brownian motion / Yu.S. Mishura, G.M. Shevchenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 243-250. — Бібліогр.: 10 назв.— англ. 0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4493 en Інститут математики НАН України |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| language |
English |
| description |
Stochastic differential equation with pathwise integral with respect to fractional Brownian motion is considered. For solution of such equation, under different conditions, the Malliavin differentiability is proved. Under infinite differentiability and boundedness of derivatives of the cofficients it is proved that the solution is infinitely differentiable in the Malliavin sense with all derivatives bounded. |
| format |
Article |
| author |
Mishura, Yu.S. Shevchenko, G.M. |
| spellingShingle |
Mishura, Yu.S. Shevchenko, G.M. On differentiability of solution to stochastic differential equation with fractional Brownian motion |
| author_facet |
Mishura, Yu.S. Shevchenko, G.M. |
| author_sort |
Mishura, Yu.S. |
| title |
On differentiability of solution to stochastic differential equation with fractional Brownian motion |
| title_short |
On differentiability of solution to stochastic differential equation with fractional Brownian motion |
| title_full |
On differentiability of solution to stochastic differential equation with fractional Brownian motion |
| title_fullStr |
On differentiability of solution to stochastic differential equation with fractional Brownian motion |
| title_full_unstemmed |
On differentiability of solution to stochastic differential equation with fractional Brownian motion |
| title_sort |
on differentiability of solution to stochastic differential equation with fractional brownian motion |
| publisher |
Інститут математики НАН України |
| publishDate |
2007 |
| url |
http://dspace.nbuv.gov.ua/handle/123456789/4493 |
| citation_txt |
On differentiability of solution to stochastic differential equation with fractional Brownian motion / Yu.S. Mishura, G.M. Shevchenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 243-250. — Бібліогр.: 10 назв.— англ. |
| work_keys_str_mv |
AT mishurayus ondifferentiabilityofsolutiontostochasticdifferentialequationwithfractionalbrownianmotion AT shevchenkogm ondifferentiabilityofsolutiontostochasticdifferentialequationwithfractionalbrownianmotion |
| first_indexed |
2023-03-24T08:30:23Z |
| last_indexed |
2023-03-24T08:30:23Z |
| _version_ |
1796139186392137728 |