Abstract
Some methods of stochastic calculus for fractional Brownian motion are applied to some problems described by linear stochastic differential equations with fractional Brownian motion. Explicit solutions are given to these equations, some asymptotic moments of the solution are computed and some unknown parameters in these equations are identified by a family of strongly consistent estimators.
Research partially supported by NSF Grant DMS 9623439.
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Duncan, T.E. (2000). Some Applications of Fractional Brownian Motion to Linear Systems. In: Djaferis, T.E., Schick, I.C. (eds) System Theory. The Springer International Series in Engineering and Computer Science, vol 518. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-5223-9_7
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DOI: https://doi.org/10.1007/978-1-4615-5223-9_7
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