School Seminars and Colloquia

Stochastic differential equations involving fractional Brownian motion

Stochastic Processes Seminar

by Prof Yu Mishura


Institution: Kyiv National University, Ukraine
Date: Wed 24th November 2010
Time: 2:15 PM
Location: Room 213,Richard Berry Building, The University of Melbourne

Abstract: For SDEs with additive fractional noise, we establish conditions for
 existence and uniqueness of solutions and derive bounds for the moments
 of the solutions. For nonhomogeneous SDEs involving both the Wiener
process and fBm, the rate of convergence of Euler approximations to
 the solutions is estimated. Financial applications of the models with
 fBm are discussed.


For More Information: contact: Prof Daniel Dufresne on dufresne@unimelb.edu.au OR Dr Aihua Xia on xia@ms.unimelb.edu.au