Taiwanese Journal of Mathematics

JACOBI PROCESSES DRIVEN BY FRACTIONAL BROWNIAN MOTION

Nguyen Tien Dung

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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

Permanent link to this document
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

Subjects
Primary: 60H10: Stochastic ordinary differential equations [See also 34F05] 60G22: Fractional processes, including fractional Brownian motion 60H07: Stochastic calculus of variations and the Malliavin calculus

Keywords
Jacobi processes fractional Brownian motion Malliavin calculus

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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