ABSTRACT STOCHASTIC INTEGRODIFFERENTIAL DELAY EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION

Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion

Ergodicity of Stochastic Differential Equations Driven by Fractional Brownian Motion

We study the ergodic properties of finite-dimensional systems of SDEs driven by non-degenerate additive fractional Brownian motion with arbitrary Hurst parameter H ∈ (0, 1). A general framework is constructed to make precise the notions of “invariant measure” and “stationary state” for such a system. We then prove under rather weak dissipativity conditions that such an SDE possesses a unique st...

Stochastic Differential Equations Driven by a Fractional Brownian Motion

We study existence, uniqueness and regularity of some sto-chastic diierential equations driven by a fractional Brownian motion of any Hurst index H 2 (0; 1): 1. Introduction Fractional Brownian motion and other longgrange dependent processes are more and more studied because of their potential applications in several elds like telecommunications networks, nance markets, biology and so on The ma...

existence and measurability of the solution of the stochastic differential equations driven by fractional brownian motion

Parametric Estimation for Linear Stochastic Delay Differential Equations Driven by Fractional Brownian Motion

Consider a linear stochastic differential equation dX(t) = (aX(t) + bX(t− 1))dt+ dW t , t ≥ 0 with time delay driven by a fractional Brownian motion {WH t , t ≥ 0}. We investigate the asymptotic properties of the maximum likelihood estimator of the parameter θ = (a, b).