## Taiwanese Journal of Mathematics

### JACOBI PROCESSES DRIVEN BY FRACTIONAL BROWNIAN MOTION

Nguyen Tien Dung

#### Abstract

In this paper we study a Jacobi equation driven by fractional Brownian motion with Hurst index $H\in (\frac{1}{2},1).$ We first prove the existence and uniqueness of the solution. Then we investigate Malliavin differentiability and smoothness of the density of the solution. Finally, we point out that the solution can be approximated by semimartingales.

#### Article information

Source
Taiwanese J. Math., Volume 18, Number 3 (2014), 835-848.

Dates
First available in Project Euclid: 10 July 2017

https://projecteuclid.org/euclid.twjm/1499706444

Digital Object Identifier
doi:10.11650/tjm.18.2014.3288

Mathematical Reviews number (MathSciNet)
MR3213390

Zentralblatt MATH identifier
1357.60060

#### Citation

Dung, Nguyen Tien. JACOBI PROCESSES DRIVEN BY FRACTIONAL BROWNIAN MOTION. Taiwanese J. Math. 18 (2014), no. 3, 835--848. doi:10.11650/tjm.18.2014.3288. https://projecteuclid.org/euclid.twjm/1499706444

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