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Wick type SDEs driven by grey Brownian motion
Technische Universität Kaiserslautern, Germany.ORCID iD: 0000-0002-8400-0416
University of Madeira, Portugal.
2017 (English)In: Structure, Function and Dynamics from nm to Gm: Proceedings of the 8th Jagna International Workshop, 4–7 January 2017, Bohol, Philippines / [ed] Bornales J.B., Villagonzalo C.D., Esguerra J.P.H., Soriano M.N., Bernido C.C., Carpio-Bernido M.V., American Institute of Physics (AIP), 2017, Vol. 1871, article id 020004Conference paper, Published paper (Refereed)
Abstract [en]

We derive solutions of the Ornstein-Uhlenbeck and of a linear Wick-type stochastic differential equation (SDE) driven by grey Brownian motion. The solutions are characterized to be in a suitable distribution space.
Place, publisher, year, edition, pages
American Institute of Physics (AIP), 2017. Vol. 1871, article id 020004
Series
AIP Conference Proceedings, ISSN 0094-243X, E-ISSN 1551-7616 ; 1871:1
National Category
Probability Theory and Statistics
Research subject
Mathematics, Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-124560DOI: 10.1063/1.4996514Scopus ID: 2-s2.0-85028806311ISBN: 9780735415515 (electronic)OAI: oai:DiVA.org:lnu-124560DiVA, id: diva2:1796996
Conference
The 8th Jagna International Workshop, 4–7 January 2017, Bohol, Philippines
Available from: 2023-09-13 Created: 2023-09-13 Last updated: 2023-09-14Bibliographically approved

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Bock, Wolfgang

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