Weak solutions for stochastic differential equations with additive fractional noise (Q1767738)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Weak solutions for stochastic differential equations with additive fractional noise |
scientific article |
Statements
Weak solutions for stochastic differential equations with additive fractional noise (English)
0 references
8 March 2005
0 references
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.
0 references
fractional Brownian motion
0 references
stochastic differential equations
0 references
weak solutions
0 references
discontinouus drift
0 references
0 references
0 references
0 references
