共查询到20条相似文献,搜索用时 15 毫秒
1.
Abstract We prove an existence and uniqueness theorem for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter H > 1/2 and a multidimensional standard Brownian motion. The proof relies on some a priori estimates, which are obtained using the methods of fractional integration and the classical Itô stochastic calculus. The existence result is based on the Yamada–Watanabe theorem. 相似文献
2.
B. L. S. Prakasa Rao 《随机分析与应用》2013,31(3):450-479
We give an overview of some maximal inequalities and limit theorems for the tail probabilities for the supremum of a fractional Brownian motion. 相似文献
3.
在分数布朗运动环境下,讨论了单资产多噪声情形下的最优投资组合问题.假定标的资产价格遵循多维分数布朗运动驱动的常系数随机微分方程,在给定效用函数分别为幂函数和对数效用函数条件下,得到了最优投资组合问题的显式解. 相似文献
4.
Anatoliy Malyarenko 《Journal of Theoretical Probability》2006,19(2):263-288
We prove a general functional limit theorem for multiparameter fractional Brownian motion. The functional law of the iterated
logarithm, functional Lévy’s modulus of continuity and many other results are its particular cases. Applications to approximation
theory are discussed.
相似文献
5.
We define and prove the existence of a fractional Brownian motion indexed by a collection of closed subsets of a measure space.
This process is a generalization of the set-indexed Brownian motion, when the condition of independance is relaxed. Relations
with the Lévy fractional Brownian motion and with the fractional Brownian sheet are studied. We prove stationarity of the
increments and a property of self-similarity with respect to the action of solid motions. Moreover, we show that there no
“really nice” set indexed fractional Brownian motion other than set-indexed Brownian motion. Finally, behavior of the set-indexed
fractional Brownian motion along increasing paths is analysed.
相似文献
6.
Fractional Brownian Motion and Sheet as White Noise Functionals 总被引:1,自引:0,他引:1
Zhi Yuan HUANG Chu Jin LI Jian Ping WAN Ying WU 《数学学报(英文版)》2006,22(4):1183-1188
In this short note, we show that it is more natural to look the fractional Brownian motion as functionals of the standard white noises, and the fractional white noise calculus developed by Hu and Фksendal follows directly from the classical white noise functional calculus. As examples we prove that the fractional Girsanov formula, the Ito type integrals and the fractional Black-Scholes formula are easy consequences of their classical counterparts. An extension to the fractional Brownian sheet is also briefly discussed. 相似文献
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Asymptotic behavior of the local time at the origin of q-dimensional fractional Brownian motion is considered when the index approaches the critical value 1/q. It is proved that, under a suitable (temporally inhomogeneous) normalization, it converges in law to the inverse of an extremal process which appears in the extreme value theory. 相似文献
9.
Stochastic Analysis of the Fractional Brownian Motion 总被引:20,自引:0,他引:20
Since the fractional Brownian motion is not a semi-martingale, the usual Ito calculus cannot be used to define a full stochastic calculus. However, in this work, we obtain the Itô formula, the Itô–Clark representation formula and the Girsanov theorem for the functionals of a fractional Brownian motion using the stochastic calculus of variations. 相似文献
10.
Doubly Perturbed Neutral Stochastic Functional Equations Driven by Fractional Brownian Motion 下载免费PDF全文
Zhi Li & Liping Xu 《偏微分方程(英文版)》2015,28(4):305-314
In this paper, we study a class of doubly perturbed neutral stochastic functional equations driven by fractional Brownian motion. Under some non-Lipschitz conditions, we will prove the existence and uniqueness of the solution to these equations by providing a semimartingale approximation of a fractional stochastic integration. 相似文献
11.
Let B be a fractional Brownian motion with Hurst index H(0,1). Denote by the positive, real zeros of the Bessel function J–H of the first kind of order –H, and let be the positive zeros of J1–H. In this paper we prove the series representation where X1,X2,... and Y1,Y2,... are independent, Gaussian random variables with mean zero and and the constant cH2 is defined by cH2=–1(1+2H) sin H. We show that with probability 1, both random series converge absolutely and uniformly in t[0,1], and we investigate the rate of convergence.Mathematics Subject Classification (2000): 60G15, 60G18, 33C10 相似文献
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13.
Abstract We introduce a class of continuous-time Gaussian processes with stationary increments via moving-average representation with good MA coefficient. The class includes fractional Brownian motion with Hurst index less than 1/2 as a typical example. It also includes processes which have different indices corresponding to the local and long-time properties, repsectively. We derive some basic properties of the processes, and, using the results, we establish a prediction formula for them. The prediction kernel in the formula is given explicitly in terms of MA and AR coefficients. 相似文献
14.
《随机分析与应用》2013,31(6):1577-1607
Abstract Linear and semilinear stochastic evolution equations with additive noise, where the forcing term is an infinite dimensional fractional Brownian motion are studied. Under usual dissipativity conditions the equations are shown to define random dynamical systems which have unique, exponentially attracting fixed points. The results are applied to stochastic parabolic PDE's. They are also applicable to standard finite-dimensional dissipative stochastic equation driven by fractional Brownian motion. 相似文献
15.
本文利用白噪声分析的方法,讨论了分式布朗运动的局部时,即将其看作一个Hida分布.进一步,给出分式布朗运动的局部时的混沌分解以及局部时平方可积性. 相似文献
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本文讨论两资产择好期权的定价问题。在风险中性假设下,建立了两资产价格过程遵循分数布朗运动和带非时齐Poisson跳跃—扩散过程的择好期权定价模型,应用期权的保险精算法,给出了相应的择好期权的定价公式。 相似文献
18.
B. L. S. Prakasa Rao 《随机分析与应用》2013,31(6):1199-1212
Abstract We investigate the general problem of estimating the translation of a stochastic process governed by a stochastic differential equation driven by a fractional Brownian motion. The special case of the Ornstein-Uhlenbeck process is discussed in particular. 相似文献
19.
Yiming JIANG 《数学年刊B辑(英文版)》2007,28(3):311-320
In this paper, the existence and smoothness of the collision local time are proved for two independent fractional Brownian motions, through L2 convergence and Chaos expansion. Furthermore, the regularity of the collision local time process is studied. 相似文献
20.
Let B
H
and
be two independent, d-dimensional fractional Brownian motions with Hurst parameter H∈(0,1). Assume d≥2. We prove that the intersection local time of B
H
and
exists in L
2 if and only if Hd<2.
相似文献