On differentiability of solution to stochastic differential equation with fractional Brownian motion

dc.contributor.author	Mishura, Yu.S.
dc.contributor.author	Shevchenko, G.M.
dc.date.accessioned	2009-11-19T10:24:47Z
dc.date.available	2009-11-19T10:24:47Z
dc.date.issued	2007
dc.identifier.citation	On differentiability of solution to stochastic differential equation with fractional Brownian motion / Yu.S. Mishura, G.M. Shevchenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 243-250. — Бібліогр.: 10 назв.— англ.	en_US
dc.identifier.issn	0321-3900
dc.identifier.uri	http://dspace.nbuv.gov.ua/handle/123456789/4493
dc.description.abstract	Stochastic differential equation with pathwise integral with respect to fractional Brownian motion is considered. For solution of such equation, under different conditions, the Malliavin differentiability is proved. Under infinite differentiability and boundedness of derivatives of the cofficients it is proved that the solution is infinitely differentiable in the Malliavin sense with all derivatives bounded.	en_US
dc.language.iso	en	en_US
dc.publisher	Інститут математики НАН України	en_US
dc.title	On differentiability of solution to stochastic differential equation with fractional Brownian motion	en_US
dc.type	Article	en_US
dc.status	published earlier	en_US