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ArticleA singular stochastic differential equation driven by fractional Brownian motion

Yaozhong Hu2008

OA

Articlegreen2008

A singular stochastic differential equation driven by fractional Brownian motion

Yaozhong Hu · David Nualart · Xiaoming Song

43 citations·0/0 files stored·Statistics & Probability Letters

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Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

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References

1985A Theory of the Term Structure of Interest Rates 2006The Malliavin Calculus and Related Topics 1998Differential equations driven by rough signals 1999Stochastic Analysis of the Fractional Brownian Motion 1998Integration with respect to fractal functions and stochastic calculus. I 1991Dirichlet Forms and Analysis on Wiener Space 2002Differential equations driven by fractional Brownian motion 1994Differential equations driven by rough signals (I): an extension of an inequality of L. C. Young

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2019Optimal strong convergence rate of a backward Euler type scheme for the Cox–Ingersoll–Ross model driven by fractional Brownian motion 2017Mixed fractional Heston model and the pricing of American options 2020Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation

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2016Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusionsarticle · 7 shared references 2008Malliavin calculus for stochastic differential equations driven by a fractional Brownian motionarticle · 6 shared references 2007An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motionchapter · 6 shared references 2012Transportation inequalities for stochastic differential equations driven by a fractional Brownian motionarticle · 6 shared references 2010Small-time kernel expansion for solutions of stochastic differential equations driven by fractional Brownian motionsarticle · 6 shared references 2009Trees and asymptotic expansions for fractional stochastic differential equationsarticle · 6 shared references

Details

Year2008

Typearticle

Published2008-02-09

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations43

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spl.2008.01.080

openalex_workW2005449656

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