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Maximal upper bounds for the moments of stochastic integrals and solutions of stochastic differential equations with respect to fractional Brownian motion with Hurst index . II
Author(s):
Yu.
V.
Kozachenko;
Yu.
S.
Mishura
Translated by:
O. I. Klesov
Original publication:
Teoriya Imovirnostei ta Matematichna Statistika,
vipusk 76
(2007).
Journal:
Theor. Probability and Math. Statist.
No. 76
(2008),
59-76.
MSC (2000):
Primary 60G15;
Secondary 60H05, 60H10
Posted:
July 14, 2008
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Abstract:
We study stochastic differential equations with Wiener integral considered with respect to fractional Brownian motion with Hurst index . We prove the existence and uniqueness of a strong solution of the equations and find maximal upper bounds for moments of a solution and its increments. We obtain estimates for the distribution of the supremum of a solution on an arbitrary interval. The modulus of continuity of solutions is found and estimates for the distributions of the norms of solutions are obtained in some Lipschitz spaces.
References:
-
- 1.
- D. Nualart and Y. Ouknine, Regularization of differential equations by fractional noise, Stoch. Process. Appl. 102 (2002), 103-116. MR 1934157 (2004b:60151)
- 2.
- Yu. V. Kozachenko and Yu. S. Mishura, Maximal upper bounds for moments of stochastic integrals and solutions of stochastic differential equations with respect to the fractional Brownian motion with Hurst index
. I, Teor. Imovirnost. ta Matem. Statyst. 75 (2006), 45-56; English transl. in Theory Probab. Math. Statist. 75 (2007). MR 2321180 (2008g:60167) - 3.
- S. G. Samko, A. A. Kilbas, and O. I. Marichev, Fractional Integrals and Derivatives. Theory and Applications, ``Nauka i tekhnika'', Minsk, 1987; English transl., Gordon and Breach Science Publishers, New York, 1993. MR 1347689 (96d:26012)
- 4.
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- 5.
- J. Mémin, Yu. Mishura, and E. Valkeila, Inequalities for the moments of Wiener integrals with respect to fractional Brownian motion, Stat. Prob. Letters 51 (2001), 197-206. MR 1822771 (2002b:60096)
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- V. V. Buldygin and Yu. V. Kozachenko, Metric Characterization of Random Variables and Random Processes, American Mathematical Society, Providence, Rhode Island, 2000. MR 1743716 (2001g:60089)
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Additional Information:
Yu.
V.
Kozachenko
Affiliation:
Department of Probability Theory and Mathematical Statistics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue 6, Kyiv 03127, Ukraine
Email:
yvk@univ.kiev.ua
Yu.
S.
Mishura
Affiliation:
Department of Probability Theory and Mathematical Statistics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue 6, Kyiv 03127, Ukraine
Email:
myus@univ.kiev.ua
DOI:
10.1090/S0094-9000-08-00732-1
PII:
S 0094-9000(08)00732-1
Keywords:
Fractional Brownian motion,
Wiener integral,
stochastic differential equation,
moment estimates
Received by editor(s):
2/OCT/2006
Posted:
July 14, 2008
Additional Notes:
Research is partially supported by the NATO grant PST.CLG.9804
Copyright of article:
Copyright
2008,
American Mathematical Society
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