Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion

Details Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion

2000-05-15

arxiv.org/abs/math/0005147v1

Mathematics

Probability

Scientific paper

We give a new estimate on Stieltjes integrals of H\"older continuous functions and use it to prove an existence-uniqueness theorem for solutions of ordinary differential equations with H\"older continuous forcing. We construct stochastic integrals with respect to fractional Brownian motion, and establish sufficient conditions for its existence. We prove that stochastic differential equations with fractional Brownian motion have a unique solution with probability 1 in certain classes of H\"older-continuous functions. We give tail estimates of the maximum of stochastic integrals from tail estimates of the H\"older coefficient of fractional Brownian motion. In addition we apply the techniques used for ordinary Brownian motion to construct stochastic integrals of deterministic functions with respect to fractional Brownian motion and give tail estimates of its maximum.

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