82 citations · 154 across the 37 of their papers we have counts for
4 papers · 2 filters
Strong Uniqueness of Singular Stochastic Delay Equations
D. Baños, H. H. Haferkorn, F. Proske
In this article we introduce a new method for the construction of unique strong solutions of a larger class of stochastic delay equations driven by a discontinuous drift vector fie…
Girsanov Theorem for Multifractional Brownian Processes
Fabian Harang, Torstein Nilssen, Frank Proske
In this article we will present a new perspective on the variable order fractional calculus, which allows for differentiation and integration to a variable order, i.e. one differen…
Strong solutions of SDE's with generalized drift and multidimensional fractional Brownian initial noise
David R. Baños, Salvador Ortiz-Latorre, Andrey Pilipenko +1
In this paper we prove the existence of strong solutions to a SDE with a generalized drift driven by a multidimensional fractional Brownian motion for small Hurst parameters H<1/2.…
Stochastic functional differential equations and sensitivity to their initial path
David R. Baños, Giulia Di Nunno, Hannes Haferkorn +1
We consider systems with memory represented by stochastic functional differential equations. Substantially, these are stochastic differential equations with coefficients depending…