Within the rough path framework, we prove the continuity of the solution to random differential equations driven by a one dimensional fractional Brownian motion with respect to the Hurst parameter H when H∈(1/3,1/2]

A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion / F.C. De Vecchi, L.M. Giordano, D. Morale, S. Ugolini. - In: STOCHASTIC ANALYSIS AND APPLICATIONS. - ISSN 0736-2994. - (2020 Oct 15). [Epub ahead of print] [10.1080/07362994.2020.1830111]

A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion

F.C. DE VECCHI
;
L.M. Giordano;D. Morale;S. Ugolini
2020-10-15

Abstract

Within the rough path framework, we prove the continuity of the solution to random differential equations driven by a one dimensional fractional Brownian motion with respect to the Hurst parameter H when H∈(1/3,1/2]
Continuity; Hurst parameters; fractional Brownian motion; rough path
Settore MAT/06 - Probabilita' e Statistica Matematica
15-ott-2020
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2434/775991
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