Year: 2002
Type: article
Abstract: A global existence and uniqueness result of the solution for multidimensional, time dependent, stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H> is proved. It is shown, also, that the solution has finite moments. The result is based on a deterministic existence and uniqueness theorem whose proof uses a contraction principle and a priori estimates.
Authors: David Nualart, Aurel Răşcanu
Institutions: Universitat de Barcelona, Alexandru Ioan Cuza University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1506978447