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Hölder properties of local times for fractional Brownian motions

✍ Scribed by D. Baraka; T. Mountford; Y. Xiao


Publisher
Springer
Year
2008
Tongue
English
Weight
300 KB
Volume
69
Category
Article
ISSN
0026-1335

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We extend the Stieltjes integral to Hölder functions of two variables and prove an existence and uniqueness result for the corresponding deterministic ordinary differential equations and also for stochastic equations driven by a two-parameter fractional Brownian motion.