Seminario del Departamento de
Ecuaciones Diferenciales y Análisis Numérico

Fecha : 23 de mayo de 2018
Hora  : 12:30
Lugar : Seminario del Departamento (Fac. de Matemáticas, 3a. planta, módulo 34)

Andreas Neuenkirch

(Universidad de Mannheim, Alemania)

Resumen

We study the Mandelbrot-van Ness representation of fractional Brownian motion with Hurst parameter H in (0,1) and show that the sample paths of fractional Brownian motion are smooth with respect to H. As a byproduct we obtain that scalar stochastic differential equations are differentiable with respect to the Hurst parameter of the driving fractional Brownian motion.