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Weak solutions to stochastic differential equations driven by fractional Brownian motion

  1. 1.
    SYSNO ASEP0331176
    Document TypeJ - Journal Article
    R&D Document TypeJournal Article
    Subsidiary JČlánek ve WOS
    TitleWeak solutions to stochastic differential equations driven by fractional Brownian motion
    TitleSlabá řešení stochastických diferenciálních rovnic perturbovaných frakcionálním Brownovým pohybem
    Author(s) Šnupárková, Jana (UTIA-B)
    Source TitleCzechoslovak Mathematical Journal. - : Springer - ISSN 0011-4642
    Roč. 59, č. 4 (2009), s. 879-907
    Number of pages29 s.
    Languageeng - English
    CountryCZ - Czech Republic
    Keywordsfractional Brownian motion ; weak solutions
    Subject RIVBA - General Mathematics
    R&D ProjectsGA201/07/0237 GA ČR - Czech Science Foundation (CSF)
    CEZAV0Z10750506 - UTIA-B (2005-2011)
    UT WOS000271641800003
    AnnotationExistence of weak solutions to an n-dimensional system of stochastic differential equations driven by a fractional Brownian motion is shown for a time-dependent but state-independent diffusion and a drift that may be rather singular.
    WorkplaceInstitute of Information Theory and Automation
    ContactMarkéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
    Year of Publishing2010
Number of the records: 1  

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