EXISTENCE OF STRONG SOLUTIONS AND UNIQUENESS IN LAW FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION

DOI10.1142/S0219493709002725zbMath1195.60078MaRDI QIDQ3643576

Tyrone E. Duncan, David Nualart

Publication date: 9 November 2009

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionstochastic differential equationsexistence and uniqueness of the solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic processes (60G99) Stochastic integrals (60H05)

Related Items (6)

On backward problems for stochastic fractional reaction equations with standard and fractional Brownian motion ⋮ Young differential equations with power type nonlinearities ⋮ Unnamed Item ⋮ Numerical simulation of the Hurst index of solutions of fractional stochastic dynamical systems driven by fractional Brownian motion ⋮ Existence and stability for fractional parabolic integro-partial differential equations with fractional Brownian motion and nonlocal condition ⋮ Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts

Cites Work

• Stochastic analysis of the fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Weak solutions for stochastic differential equations with additive fractional noise
• On a SDE driven by a fractional Brownian motion and with monotone drift
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• Regularization of differential equations by fractional noise.
• An inequality of the Hölder type, connected with Stieltjes integration
• Généralisation d'un lemme de s. nakao et applications

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