Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter H > 1/2

Details Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter H > 1/2 Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter H > 1/2

2010-03-08

arxiv.org/abs/1003.1584v1

Mathematics

Probability

Scientific paper

In this note we prove an existence and uniqueness result of solution for
stochastic Volterra integral equations driven by a fractional Brownian motion
with Hurst parameter H > 1/2, showing also that the solution has finite
moments. The stochastic integral with respect to the fractional Brownian motion
is a pathwise Riemann-Stieltjes integral.

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