Stability of stochastic differential equations driven by multifractional Brownian motion


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Output type: Journal article

UM6P affiliated Publication?: Yes

Author list: Barrimi O.E., Ouknine Y.

Publisher: De Gruyter

Publication year: 2021

Journal: Random Operators and Stochastic Equations (0926-6364)

Volume number: 29

Issue number: 2

ISSN: 0926-6364

eISSN: 1569-397X

URL: https://www.scopus.com/inward/record.uri?eid=2-s2.0-85104441662&doi=10.1515%2frose-2021-2055&partnerID=40&md5=4da37e38f2caff2aca37272921879ba4

Languages: English (EN-GB)


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Abstract

Our aim in this paper is to establish some strong stability results for solutions of stochastic differential equations driven by a Riemann–Liouville multifractional Brownian motion. The latter is defined as a Gaussian non-stationary process with a Hurst parameter as a function of time. The results are obtained assuming that the pathwise uniqueness property holds and using Skorokhod’s selection theorem. © 2021 De Gruyter. All rights reserved.


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Last updated on 2021-22-11 at 23:20