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Theory of Probability and Mathematical Statistics
Theory of Probability and Mathematical Statistics
ISSN: 1547-7363(e) 0094-9000(p)
     

Maximal upper bounds for the moments of stochastic integrals and solutions of stochastic differential equations with respect to fractional Brownian motion with Hurst index $ H<1/2$. 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 $ H<1/2$. 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.


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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 $ H<1/2$. I, Teor. Imovirnost. ta Matem. Statyst. 75 (2006), 45-56; English transl. in Theory Probab. Math. Statist. 75 (2007). MR 2321180 (2008g:60167)

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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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