Wiener and divergence-type integrals for fractional Brownian motion

2008 ◽  
pp. 23-45
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Divergence Type

Deplay BSDEs driven by fractional Brownian motion

2022 ◽  
Vol 0 (0) ◽  
Author(s):  
Sadibou Aidara ◽  
Ibrahima Sane
Keyword(s):  
Brownian Motion ◽  
Differential Equations ◽  
Fractional Brownian Motion ◽  
Existence And Uniqueness ◽  
Stochastic Integral ◽  
Hurst Parameter ◽  
The Past ◽  
Type Integral ◽  
Divergence Type ◽  
Uniqueness Of A Solution

Abstract This paper deals with a class of deplay backward stochastic differential equations driven by fractional Brownian motion (with Hurst parameter H greater than 1 2 {\frac{1}{2}} ). In this type of equation, a generator at time t can depend not only on the present but also the past solutions. We essentially establish existence and uniqueness of a solution in the case of Lipschitz coefficients and non-Lipschitz coefficients. The stochastic integral used throughout this paper is the divergence-type integral.

scholarly journals A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm

2014 ◽  
Vol 51 (1) ◽  
pp. 1-18 ◽  
Author(s):  
Dawei Hong ◽  
Shushuang Man ◽  
Jean-Camille Birget ◽  
Desmond S. Lun
Keyword(s):  
Brownian Motion ◽  
Convergence Rate ◽  
Fractional Brownian Motion ◽  
Parallel Algorithm ◽  
Uniform Approximation ◽  
Haar Wavelets ◽  
Hurst Index ◽  
Sample Paths ◽  
Vanishing Moment ◽  
Uniform Expansion

We construct a wavelet-based almost-sure uniform approximation of fractional Brownian motion (FBM) (Bt(H))_t∈[0,1] of Hurst index H ∈ (0, 1). Our results show that, by Haar wavelets which merely have one vanishing moment, an almost-sure uniform expansion of FBM for H ∈ (0, 1) can be established. The convergence rate of our approximation is derived. We also describe a parallel algorithm that generates sample paths of an FBM efficiently.

Pricing geometric asian power options in the sub-fractional brownian motion environment

2021 ◽  
Vol 145 ◽  
pp. 110754
Author(s):  
WEI WANG ◽  
GUANGHUI CAI ◽  
XIANGXING TAO
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion

Global attracting sets of neutral stochastic functional integro-differential equations driven by a fractional Brownian motion

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
A. Bakka ◽  
S. Hajji ◽  
D. Kiouach
Keyword(s):  
Hilbert Space ◽  
Fixed Point ◽  
Brownian Motion ◽  
Differential Equations ◽  
Fractional Brownian Motion ◽  
Sufficient Conditions ◽  
Integrodifferential Equations ◽  
Hurst Parameter ◽  
Fixed Point Principle ◽  
Stochastic Functional

Abstract By means of the Banach fixed point principle, we establish some sufficient conditions ensuring the existence of the global attracting sets of neutral stochastic functional integrodifferential equations with finite delay driven by a fractional Brownian motion (fBm) with Hurst parameter H ∈ ( 1 2 , 1 ) {H\in(\frac{1}{2},1)} in a Hilbert space.

scholarly journals Existence and exponential stability in the pth moment for impulsive neutral stochastic integro-differential equations driven by mixed fractional Brownian motion

2019 ◽  
Vol 2019 (1) ◽  
Author(s):  
Xia Zhou ◽  
Dongpeng Zhou ◽  
Shouming Zhong
Keyword(s):  
Brownian Motion ◽  
Differential Equations ◽  
Exponential Stability ◽  
Fractional Brownian Motion ◽  
Mild Solutions ◽  
Semigroup Theory ◽  
Sufficient Conditions ◽  
Fractional Power ◽  
Banach Fixed Point Theorem ◽  
Mixed Fractional Brownian Motion

Abstract This paper consider the existence, uniqueness and exponential stability in the pth moment of mild solution for impulsive neutral stochastic integro-differential equations driven simultaneously by fractional Brownian motion and by standard Brownian motion. Based on semigroup theory, the sufficient conditions to ensure the existence and uniqueness of mild solutions are obtained in terms of fractional power of operators and Banach fixed point theorem. Moreover, the pth moment exponential stability conditions of the equation are obtained by means of an impulsive integral inequality. Finally, an example is presented to illustrate the effectiveness of the obtained results.

Sign in / Sign up

Export Citation Format

Share Document