2 papers
math.PR2025
Stochastic differential equations driven by fractional Brownian motion: dependence on the Hurst parameter
Anna P. Kwossek, Andreas Neuenkirch, David J. Prömel
Stochastic models with fractional Brownian motion as source of randomness have become popular since the early 2000s. Fractional Brownian motion (fBm) is a Gaussian process, whose c…
math.PR2024
Functional differential equations driven by càdlàg rough paths
Anna P. Kwossek, Andreas Neuenkirch, David J. Prömel
The existence of unique solutions is established for rough differential equations (RDEs) with path-dependent coefficients and driven by càdlàg rough paths. Moreover, it is shown th…