Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion

DOI10.1016/j.physa.2019.121565OpenAlexW2947456809MaRDI QIDQ2162176

Zhi Li, Wentao Zhan, Li-Ping Xu

Publication date: 5 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.121565

zbMATH Keywords

fractional Brownian motionstochastic differential equationsGirsanov theorem

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Statistical mechanics, structure of matter (82-XX)

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