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Analog of the Kolmogorov Equations for One-Dimensional Stochastic Differential Equations Controlled by Fractional Brownian Motion with Hurst Exponent \(H\in (0,1)\)

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Abstract

Analogs of the Kolmogorov equations for the expectations and distribution densities of solutions of one-dimensional stochastic differential equations controlled by fractional Brownian motion with Hurst exponent \(H\in (0,1)\) are obtained.

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Authors and Affiliations

  1. Belarusian State University, Minsk, 220030, Belarus

    M. M. Vas’kovskii

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  1. M. M. Vas’kovskii
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Correspondence to M. M. Vas’kovskii.

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Translated by V. Potapchouck

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Vas’kovskii, M.M. Analog of the Kolmogorov Equations for One-Dimensional Stochastic Differential Equations Controlled by Fractional Brownian Motion with Hurst Exponent \(H\in (0,1)\). Diff Equat 58, 9–14 (2022). https://doi.org/10.1134/S0012266122010025

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  • DOI: https://doi.org/10.1134/S0012266122010025

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