多分数布朗运动驱动的随机微分方程的稳定性

IF 0.3 Q4 STATISTICS & PROBABILITY

Random Operators and Stochastic Equations Pub Date : 2021-04-02 DOI:10.1515/rose-2021-2055

Oussama El Barrimi, Y. Ouknine

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引用次数: 0

摘要

摘要本文的目的是建立由Riemann-Liouville多重分形布朗运动驱动的随机微分方程解的一些强稳定性结果。后者被定义为具有赫斯特参数作为时间函数的高斯非平稳过程。假设路径唯一性性质成立，并利用Skorokhod选择定理得到了结果。

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Stability of stochastic differential equations driven by multifractional Brownian motion

Abstract Our aim in this paper is to establish some strong stability results for solutions of stochastic differential equations driven by a Riemann–Liouville multifractional Brownian motion. The latter is defined as a Gaussian non-stationary process with a Hurst parameter as a function of time. The results are obtained assuming that the pathwise uniqueness property holds and using Skorokhod’s selection theorem.

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来源期刊

Random Operators and Stochastic Equations STATISTICS & PROBABILITY-

CiteScore

0.60

自引率

25.00%

发文量