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Statistics and Probability Letters
Volumn 76, Issue 9, 2006, Pages 907-912
On the absolute continuity of one-dimensional SDEs driven by a fractional Brownian motion
Author keywords

Absolute continuity; Doss Sussmann transformation; Fractional Brownian motion; Newton C tes SDE
Indexed keywords

EID: 33645536656     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2005.10.021     Document Type: Article
Times cited : (38)
References (13)
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    • Etude en temps petit des solutions d'EDS conduites par des mouvements browniens fractionnaires
    • F. Baudoin L. Coutin Etude en temps petit des solutions d'EDS conduites par des mouvements browniens fractionnaires C. R. Math. Acad. Sci. Paris 341 1 2005 39-42
    • (2005) C. R. Math. Acad. Sci. Paris , vol.341 , Issue.1 , pp. 39-42
    • Baudoin, F.1    Coutin, L.2
  • 2
    • 38249039205 scopus 로고
    • Formes de Dirichlet générales et densité des variables aléatoires réelles sur l'espace de Wiener
    • N. Bouleau F. Hirsch Formes de Dirichlet générales et densité des variables aléatoires réelles sur l'espace de Wiener J. Funct. Anal. 69 2 1986 229-259
    • (1986) J. Funct. Anal. , vol.69 , Issue.2 , pp. 229-259
    • Bouleau, N.1    Hirsch, F.2
  • 4
    • 0036002985 scopus 로고    scopus 로고
    • Stochastic analysis, rough path analysis and fractional Brownian motion
    • L. Coutin Z. Qian Stochastic analysis, rough path analysis and fractional Brownian motion Probab. Theory Related Fields 122 1 2002 108-140
    • (2002) Probab. Theory Related Fields , vol.122 , Issue.1 , pp. 108-140
    • Coutin, L.1    Qian, Z.2
  • 5
    • 0002124082 scopus 로고
    • Liens entre équations différentielles stochastiques et ordinaires
    • H. Doss Liens entre équations différentielles stochastiques et ordinaires Ann. Inst. H. Poincaré Probab. Statist. 13 1 1977 99-125
    • (1977) Ann. Inst. H. Poincaré Probab. Statist. , vol.13 , Issue.1 , pp. 99-125
    • Doss, H.1
  • 7
    • 19344375364 scopus 로고    scopus 로고
    • m-order integrals and Itô's formula for non-semimartingale processes; the case of a fractional Brownian motion with any Hurst index
    • M. Gradinaru I. Nourdin F. Russo P. Vallois m-order integrals and Itô's formula for non-semimartingale processes; the case of a fractional Brownian motion with any Hurst index Ann. Inst. H. Poincaré Probab. Statist. 41 2005 781-806
    • (2005) Ann. Inst. H. Poincaré Probab. Statist. , vol.41 , pp. 781-806
    • Gradinaru, M.1    Nourdin, I.2    Russo, F.3    Vallois, P.4
  • 8
    • 33645547313 scopus 로고    scopus 로고
    • Ph.D. Thesis, Nancy
    • Nourdin, I., 2004. Ph.D. Thesis, Nancy.
    • (2004)
    • Nourdin, I.1
  • 9
    • 33645539164 scopus 로고    scopus 로고
    • On the absolute continuity of drifted Lévy processes
    • to appear
    • Nourdin, I., Simon, T., 2005. On the absolute continuity of drifted Lévy processes. Ann. Probab., to appear.
    • (2005) Ann. Probab.
    • Nourdin, I.1    Simon, T.2
  • 11
    • 33645547217 scopus 로고    scopus 로고
    • Stochastic differential equations with additive fractional noise and locally unbounded drift
    • Birkhäuser, Basel. Stochastic Inequalities and Applications
    • Nualart, D., Ouknine, Y., 2003. Stochastic differential equations with additive fractional noise and locally unbounded drift. In: Stochastic Inequalities and Applications. Birkhäuser, Basel. Progr. Probab. 56, 353-365.
    • (2003) Progr. Probab. , vol.56 , pp. 353-365
    • Nualart, D.1    Ouknine, Y.2
  • 12
    • 21344479524 scopus 로고
    • Forward, backward and symmetric stochastic integration
    • F. Russo P. Vallois Forward, backward and symmetric stochastic integration Probab. Theory Related Fields 97 4 1993 403-421
    • (1993) Probab. Theory Related Fields , vol.97 , Issue.4 , pp. 403-421
    • Russo, F.1    Vallois, P.2
  • 13
    • 0002801174 scopus 로고
    • On the gap between deterministic and stochastic ordinary differential equations
    • H.J. Sussmann On the gap between deterministic and stochastic ordinary differential equations Ann. Probab. 6 1978 19-41
    • (1978) Ann. Probab. , vol.6 , pp. 19-41
    • Sussmann, H.J.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.