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Title Wick type SDEs driven by grey Brownian motion call_split
Posted by Wolfgang Bock
Authors Bock, Wolfgang; da Silva, Jose Luis; Suryawan, Herry P.
Publication date 2017/08/16
Conference AIP Conference Proceedings
Volume 1871
Publisher AIP Conference Proceedings
Abstract We derive solutions of the Ornstein-Uhlenbeck and of a linear Wick-type stochastic differential equation (SDE) driven by grey Brownian motion. The solutions are characterized to be in a suitable distribution space.