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Stochastic differential equations with non-negativity constraints driven by fractional Brownian motion with Hurst parameter H $>$ 1/2
stochastic differential equations normal reflection fractional Brownian motion Young integral
2011/9/22
Abstract: In this paper we consider stochastic differential equations with non-negativity constraints, driven by a fractional Brownian motion with Hurst parameter $H>\1/2$. We first study an ordinary ...
A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter >1/2
Linear stochastic differential equation Fractional Brownian motion Stochastic calculus Ito formula
2011/9/15
Abstract: Given a fractional Brownian motion \,\,$(B_{t}^{H})_{t\geq 0}$,\, with Hurst parameter \,$> 1/2$\,\,we study the properties of all solutions of \,\,: {equation} X_{t}=B_{t}^{H}+\int_0^t X_{u...
Kerov's central limit theorem for Schur-Weyl measures of parameter 1/2
Kerov's central limit theorem Schur-Weyl measures parameter 1/2
2010/12/9
In this article, we show that Kerov’s central limit theorem related to the fluctuations of
Young diagrams under the Plancherel measure extends to the case of Schur-Weyl measures, which are the probab...