Quasi-linear stochastic differential equations with a fractional Brownian component
Анотація
The paper is devoted to stochastic differential equations with a fractional Brownian component. The fractional Brownian motion is constructed on the white noise space with the help of âforwardâ and âbackwardâ fractional integrals. The fractional white noise and Wick products are considered. A similar construction for the âcompleteâ fractional integral is considered by Elliott and van der Hoek. We consider two possible approaches to the existence and uniqueness of solutions of stochastic differential equation with a fractional Brownian motion.
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