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Fractional stochastic differential equation with discontinuous diffusion

Acceso Abierto
ID Minciencias: ART-0001430878-32
Ranking: ART-ART_B

Abstract:

In this article, we study a class of stochastic differential equations driven by a fractional Brownian motion with H > 1/2 and a discontinuous coefficient in the diffusion. We prove existence and uniqueness for the solution of these equations. This is a first step to define a fractional version of the skew Brownian motion.

Tópico:

Stochastic processes and financial applications

Citaciones:

Citations: 14
14

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Información de la Fuente:

SCImago Journal & Country Rank
FuenteStochastic Analysis and Applications
Cuartil año de publicaciónNo disponible
Volumen35
Issue6
Páginas1113 - 1123
pISSNNo disponible
ISSN0736-2994

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