Applications of the Girsanov theorem for multivariate fractional Brownian motions
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10429230" target="_blank" >RIV/00216208:11320/21:10429230 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=dAN~iStb_J" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=dAN~iStb_J</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.4310/CIS.2021.v21.n2.a5" target="_blank" >10.4310/CIS.2021.v21.n2.a5</a>
Alternative languages
Result language
angličtina
Original language name
Applications of the Girsanov theorem for multivariate fractional Brownian motions
Original language description
In this article, multivariate fractional Brownian motions with possibly different Hurst indices in different coordinates are considered and a Girsanov-type theorem for these processes is given. Two applications of this theorem to stochastic differential equations driven by multivariate fractional Brownian motions are presented. The first is an existence result for weak solutions to stochastic differential equations with a drift coefficient that can be written as a sum of a regular and singular part and an autonomous diffusion coefficient. The second application concerns a maximum likelihood estimate of a drift parameter in stochastic differential equations with additive multivariate fractional noise.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GA19-07140S" target="_blank" >GA19-07140S: Stochastic Evolution Equations and Space-Time Systems</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Communications in Information and Systems
ISSN
1526-7555
e-ISSN
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Volume of the periodical
21
Issue of the periodical within the volume
2
Country of publishing house
US - UNITED STATES
Number of pages
28
Pages from-to
269-296
UT code for WoS article
000659091800007
EID of the result in the Scopus database
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