Proves existence and uniqueness in L²(P) for solutions of conditional WIS-SDEs driven by fBM (H>1/2) under Lipschitz coefficient conditions after establishing an L² estimate for WIS-integrals.
(2008): Forward integrals and an ˆIto for- mula for fractional Brownian motion, Infinite Dimensional A nalysis, Quantum Probabilityand Related Topics Vol
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Conditional stochastic differential equations driven by fractional Brownian motion
Proves existence and uniqueness in L²(P) for solutions of conditional WIS-SDEs driven by fBM (H>1/2) under Lipschitz coefficient conditions after establishing an L² estimate for WIS-integrals.