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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| Дата: | 2007 |
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| Автори: | , |
| Формат: | Стаття |
| Мова: | Англійська |
| Опубліковано: |
Інститут математики НАН України
2007
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| Онлайн доступ: | https://nasplib.isofts.kiev.ua/handle/123456789/4493 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| 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. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862558670136541184 |
|---|---|
| author | Mishura, Yu.S. Shevchenko, G.M. |
| author_facet | Mishura, Yu.S. Shevchenko, G.M. |
| 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. |
| collection | DSpace DC |
| 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.
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| first_indexed | 2025-11-25T22:51:27Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4493 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-11-25T22:51:27Z |
| publishDate | 2007 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Mishura, Yu.S. Shevchenko, G.M. 2009-11-19T10:24:47Z 2009-11-19T10:24:47Z 2007 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 https://nasplib.isofts.kiev.ua/handle/123456789/4493 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. en Інститут математики НАН України On differentiability of solution to stochastic differential equation with fractional Brownian motion Article published earlier |
| spellingShingle | On differentiability of solution to stochastic differential equation with fractional Brownian motion Mishura, Yu.S. Shevchenko, G.M. |
| title | 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_short | 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 |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4493 |
| work_keys_str_mv | AT mishurayus ondifferentiabilityofsolutiontostochasticdifferentialequationwithfractionalbrownianmotion AT shevchenkogm ondifferentiabilityofsolutiontostochasticdifferentialequationwithfractionalbrownianmotion |