Weak solutions for stochastic differential equations with additive fractional noise (Q1767738): Difference between revisions
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Revision as of 10:01, 12 February 2024
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| English | Weak solutions for stochastic differential equations with additive fractional noise |
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Weak solutions for stochastic differential equations with additive fractional noise (English)
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8 March 2005
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The existence of a weak solution for a stochastic differential equation, driven by an additive fractional Brownian motion with Hurst parameter \(H > 1/2\) and a discontinuous drift, is shown. The proof of this result is based on the application of Girsanov's theorem for the fractional Brownian motion and some technical assertions.
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fractional Brownian motion
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stochastic differential equations
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weak solutions
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discontinouus drift
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