Weak solutions for stochastic differential equations with additive fractional noise

DOI10.1016/j.spl.2004.10.011zbMath1063.60085OpenAlexW2068762419MaRDI QIDQ1767738

David Nualart, Yuliya S. Mishura

Publication date: 8 March 2005

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2004.10.011

zbMATH Keywords

fractional Brownian motionstochastic differential equationsweak solutionsdiscontinouus drift

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Self-similar stochastic processes (60G18)

Related Items (9)

Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion ⋮ Stochastic differential equations driven by fractional Brownian motions ⋮ Stochastic differential equations with discontinuous diffusion coefficients ⋮ On mixed fractional stochastic differential equations with discontinuous drift coefficient ⋮ Oscillating Gaussian processes ⋮ A singular stochastic differential equation driven by fractional Brownian motion ⋮ Weak solutions to stochastic differential equations driven by fractional brownian motion ⋮ EXISTENCE OF STRONG SOLUTIONS AND UNIQUENESS IN LAW FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION ⋮ Stochastic differential equations driven by fractional Brownian motion and Poisson point process

Cites Work

• Unnamed Item
• Stochastic analysis of the fractional Brownian motion
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Regularization of differential equations by fractional noise.
• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
• On an Identity for Stochastic Integrals
• Gaussian Processes with Stationary Increments: Local Times and Sample Function Properties
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

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