• Title of article

    The existence and uniqueness of the solution of an integral equation driven by a p-semimartingale of special type

  • Author/Authors

    Kubilius، Virgaudas نويسنده , , K.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2002
  • Pages
    27
  • From page
    289
  • To page
    315
  • Abstract
    We consider the integral equation driven by a standard Brownian motion and fractional Brownian motion (fBm). Since fBm is not a semimartingale, we cannot use the semimartingale theory to define an integral with respect to the fBm. Furthermore, a well-developed theory of stochastic differential equations is not applicable to solve it. Existence and uniqueness conditions are obtained for a solution in the space of continuous functions with q-bounded variation, q>2.
  • Keywords
    Stochastic integral equation , Fractional Brownian motion , p-Variation , p-semimartingales
  • Journal title
    Stochastic Processes and their Applications
  • Serial Year
    2002
  • Journal title
    Stochastic Processes and their Applications
  • Record number

    1577114