A singular stochastic differential equation driven by fractional Brownian motion

Citations

Cited by:

1. Balasubramaniam, P., 2022. "Solvability of Atangana-Baleanu-Riemann (ABR) fractional stochastic differential equations driven by Rosenblatt process via measure of noncompactness," Chaos, Solitons & Fractals, Elsevier, vol. 157(C).
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4. Ahmadian, D. & Ballestra, L.V. & Shokrollahi, F., 2022. "A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
5. Pauliina Ilmonen & Soledad Torres & Lauri Viitasaari, 2020. "Oscillating Gaussian processes," Statistical Inference for Stochastic Processes, Springer, vol. 23(3), pages 571-593, October.
6. Mishura, Yuliya & Shalaiko, Taras & Shevchenko, Georgiy, 2015. "Convergence of solutions of mixed stochastic delay differential equations with applications," Applied Mathematics and Computation, Elsevier, vol. 257(C), pages 487-497.
7. Kęstutis Kubilius & Aidas Medžiūnas, 2022. "Pathwise Convergent Approximation for the Fractional SDEs," Mathematics, MDPI, vol. 10(4), pages 1-16, February.
8. Giacomo Ascione & Enrica Pirozzi, 2020. "On the Construction of Some Fractional Stochastic Gompertz Models," Mathematics, MDPI, vol. 8(1), pages 1-24, January.
9. Giulia Di Nunno & Yuliya Mishura & Anton Yurchenko-Tytarenko, 2022. "Option pricing in Sandwiched Volterra Volatility model," Papers 2209.10688, arXiv.org, revised Jul 2024.
10. John-Fritz Thony & Jean Vaillant, 2022. "Parameter Estimation for a Fractional Black–Scholes Model with Jumps from Discrete Time Observations," Mathematics, MDPI, vol. 10(22), pages 1-17, November.
11. Nualart, David & Pérez-Abreu, Victor, 2014. "On the eigenvalue process of a matrix fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 4266-4282.
12. B. L. S. Prakasa Rao, 2021. "Nonparametric Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion with Random Effects," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(2), pages 554-568, August.
13. Zhang, Yinghan & Yang, Xiaoyuan, 2015. "Fractional stochastic Volterra equation perturbed by fractional Brownian motion," Applied Mathematics and Computation, Elsevier, vol. 256(C), pages 20-36.
14. Elisa Alòs & Jorge A. León, 2021. "An Intuitive Introduction to Fractional and Rough Volatilities," Mathematics, MDPI, vol. 9(9), pages 1-22, April.
15. Hong, Jialin & Huang, Chuying & Kamrani, Minoo & Wang, Xu, 2020. "Optimal strong convergence rate of a backward Euler type scheme for the Cox–Ingersoll–Ross model driven by fractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 130(5), pages 2675-2692.
16. Kamran Kalbasi & Thomas S. Mountford & Frederi G. Viens, 2018. "Anderson Polymer in a Fractional Brownian Environment: Asymptotic Behavior of the Partition Function," Journal of Theoretical Probability, Springer, vol. 31(3), pages 1429-1468, September.
17. Mikkel Bennedsen & Asger Lunde & Mikko S. Pakkanen, 2015. "Hybrid scheme for Brownian semistationary processes," Papers 1507.03004, arXiv.org, revised May 2017.
18. Falkowski, Adrian & Słomiński, Leszek, 2017. "SDEs with constraints driven by semimartingales and processes with bounded p-variation," Stochastic Processes and their Applications, Elsevier, vol. 127(11), pages 3536-3557.
19. Sheng, Yuhong & Yao, Kai & Qin, Zhongfeng, 2020. "Continuity and variation analysis of fractional uncertain processes," Chaos, Solitons & Fractals, Elsevier, vol. 140(C).
20. Kęstutis Kubilius & Aidas Medžiūnas, 2020. "Positive Solutions of the Fractional SDEs with Non-Lipschitz Diffusion Coefficient," Mathematics, MDPI, vol. 9(1), pages 1-14, December.
21. Alexander Melnikov & Yuliya Mishura & Georgiy Shevchenko, 2015. "Stochastic Viability and Comparison Theorems for Mixed Stochastic Differential Equations," Methodology and Computing in Applied Probability, Springer, vol. 17(1), pages 169-188, March.
22. Wang, Ruifang & Xu, Yong & Yue, Hongge, 2022. "Stochastic averaging for the non-autonomous mixed stochastic differential equations with locally Lipschitz coefficients," Statistics & Probability Letters, Elsevier, vol. 182(C).
23. Solesne Bourguin & Thanh Dang & Konstantinos Spiliopoulos, 2023. "Moderate Deviation Principle for Multiscale Systems Driven by Fractional Brownian Motion," Journal of Theoretical Probability, Springer, vol. 36(1), pages 1-57, March.
24. Marc Mukendi Mpanda & Safari Mukeru & Mmboniseni Mulaudzi, 2020. "Generalisation of Fractional-Cox-Ingersoll-Ross Process," Papers 2008.07798, arXiv.org, revised Jul 2022.
25. Mishura, Yuliya & Ralchenko, Kostiantyn, 2024. "Fractional diffusion Bessel processes with Hurst index H∈(0,12)," Statistics & Probability Letters, Elsevier, vol. 206(C).
26. Dai, Min & Duan, Jinqiao & Liao, Junjun & Wang, Xiangjun, 2021. "Maximum likelihood estimation of stochastic differential equations with random effects driven by fractional Brownian motion," Applied Mathematics and Computation, Elsevier, vol. 397(C).
27. Pavel Kříž & Leszek Szała, 2020. "Least-Squares Estimators of Drift Parameter for Discretely Observed Fractional Ornstein–Uhlenbeck Processes," Mathematics, MDPI, vol. 8(5), pages 1-20, May.