A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion
Francesco C. De VecchiLuca M. GiordanoDaniela MoraleStefania Ugolini
所有作者
Francesco C. De VecchiLuca M. GiordanoDaniela MoraleStefania Ugolini
文献摘要
Within the rough path framework we prove the continuity of the solution to
random differential equations driven by fractional Brownian motion with respect
to the Hurst parameter H when H∈(1/3,1/2].