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
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
Journal title :
Stochastic Processes and their Applications