Convergence of delay differential equations driven by fractional Brownian motion
| dc.creator | Rovira, Marco Ferrante Carles | |
| dc.date | 2009-03-31 | |
| dc.date.accessioned | 2026-07-07T12:58:37Z | |
| dc.date.available | 2026-07-07T12:58:37Z | |
| dc.description | In this note we prove an existence and uniqueness result of solution for stochastic differential delay equations with hereditary drift driven by a fractional Brownian motion with Hurst parameter $H > 1/2$. Then, we show that, when the delay goes to zero, the solutions to these equations converge, almost surely and in $L^p$, to the solution for the equation without delay. The stochastic integral with respect to the fractional Brownian motion is a pathwise Riemann-Stieltjes integral. | |
| dc.identifier | https://arxiv.org/abs/0903.5498 | |
| dc.identifier | http://arxiv.org/abs/0903.5498 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/225302 | |
| dc.subject | Probability | |
| dc.subject | 60H10 | |
| dc.title | Convergence of delay differential equations driven by fractional Brownian motion | |
| dc.type | text |