Boundedness and convergence analysis of stochastic differential equations with Hurst Brownian motion
In this paper, we discuss about the boundedness and convergence analysis of the fractional Brownian motion (FBM) with Hurst parameter H. By the simple analysis and using the mean value theorem for stochastic integrals we conclude that in case of decreasing diffusion function, the solution of FBM is...
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| פורמט: | Article |
| שפה: | English |
| יצא לאור: |
Sociedade Brasileira de Matemática
2019-03-01
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| סדרה: | Boletim da Sociedade Paranaense de Matemática |
| נושאים: | |
| גישה מקוונת: | https://periodicos.uem.br/ojs/index.php/BSocParanMat/article/view/38313 |