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Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions.
- Source :
-
Stochastics: An International Journal of Probability & Stochastic Processes . Oct2013, Vol. 85 Issue 5, p859-916. 58p. - Publication Year :
- 2013
-
Abstract
- Multiple integrals with respect to several Hölder continuous functions of exponentare studied by using fractional calculus. They are applied to obtain the Volterra expansion (with remainder) for the solution of a differential system driven by rough paths. The results are applied to stochastic differential equations driven by fractional Brownian motions of Hurst parameter. For the solution of a stochastic differential equation driven by fractional Brownian motion, we obtain its chaos expansion, as well as the finite chaos expansion with remainder. To this end, we study the multiple Itô integral with random kernels. The Hu–Meyer formulas between multiple Itô and multiple pathwise integrals with random kernels are also obtained. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 17442508
- Volume :
- 85
- Issue :
- 5
- Database :
- Academic Search Index
- Journal :
- Stochastics: An International Journal of Probability & Stochastic Processes
- Publication Type :
- Academic Journal
- Accession number :
- 90478767
- Full Text :
- https://doi.org/10.1080/17442508.2012.673615