Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter H > 1/2

Mireia Besalú; Carles Rovira

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arXiv · 1003.1584

Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter H > 1/2

Mireia Besalú·Carles Rovira

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Abstract

In this note we prove an existence and uniqueness result of solution for stochastic Volterra integral equations driven by a fractional Brownian motion with Hurst parameter H > 1/2, showing also that the solution has finite moments. The stochastic integral with respect to the fractional Brownian motion is a pathwise Riemann-Stieltjes integral.

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BibTeX RIS

Mireia Besalú, Carles Rovira. 2010-03-08. Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter H > 1/2. https://arxiv.org/abs/1003.1584

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