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Stieltjes Integrals of Hölder Continuous Functions with Applications to Fractional Brownian Motion

✍ Scribed by A. A. Ruzmaikina


Book ID
110375904
Publisher
Springer
Year
2000
Tongue
English
Weight
167 KB
Volume
100
Category
Article
ISSN
0022-4715

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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.

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