Fractional Integral Equations and State Space Transforms
نویسنده
چکیده
We introduce a class of stochastic differential equations driven by fractional Brownian motion (FBM), which allow for a constructive method in order to obtain stationary solutions. This leads to a substantial extention of fractional Ornstein-Uhlenbeck processes. Structural properties of this class of new models are investigated. Their stationary densities are given explicitly. Short title: Fractional Integral Equations AMS 2000 Subject Classifications: primary: 60H20, 60G18 secondary: 60H05, 60G15
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