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https://elib.bsu.by/handle/123456789/233369| Title: | Asymptotic expansions of solutions of mixed type SDE driven by fractional Brownian motions for small times |
| Authors: | Levakov, A. A. Vaskouski, M. M. Kachan, I. V. |
| Keywords: | ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Математика ЭБ БГУ::ЕСТЕСТВЕННЫЕ И ТОЧНЫЕ НАУКИ::Кибернетика |
| Issue Date: | 2019 |
| Publisher: | Minsk : BSU |
| Citation: | Computer Data Analysis and Modeling: Stochastics and Data Science : Proc. of the Twelfth Intern. Conf., Minsk, Sept. 18-22, 2019. – Minsk : BSU, 2019. – P. 219-223. |
| Abstract: | In this paper we consider n-dimensional mixed type stochastic differential equations driven by multivariate fractional Brownian motions with Hurst indices greater than 1/3, standard Brownian motions and a drift term. Using a Taylor type development we obtain an expansion of expectations Ptg = Eg(X xt) for small t, where X xt denotes the solution of the mentioned stochastic differential equation with initial value x ∈ Rn, and g: Rn → R is a sufficiently smooth function |
| URI: | http://elib.bsu.by/handle/123456789/233369 |
| ISBN: | 978-985-566-811-5 |
| Appears in Collections: | 2019. Computer Data Analysis and Modeling : Stochastics and Data Science |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 219-223.pdf | 415,76 kB | Adobe PDF | View/Open |
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