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A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter

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  • Diop, Mamadou Abdoul
  • Ouknine, Youssef

Abstract

Given a fractional Brownian motion , with Hurst parameter , we study the properties of all solutions of A different stochastic calculus is required for the process because it is not a semimartingale.

Suggested Citation

  • Diop, Mamadou Abdoul & Ouknine, Youssef, 2011. "A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1013-1020, August.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:8:p:1013-1020
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    References listed on IDEAS

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    1. L. C. G. Rogers, 1997. "Arbitrage with Fractional Brownian Motion," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 95-105, January.
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