Weak solutions to stochastic differential equations driven by fractional brownian motion

DOI10.1007/S10587-009-0062-YMaRDI QIDQ3070168zbMATH OpenOpenAlexFDO

Authors Jana Šnupárková

Publication date 2 February 2011

Published in Czechoslovak Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/37965, http://hdl.handle.net/10338.dmlcz/140524

zbMATH Keywords

fractional Brownian motionGirsanov theoremweak solution

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(17)

• Weak solutions for stochastic differential equations with additive fractional noise
• Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts
• Strong solutions of stochastic differential equations with generalized drift and multidimensional fractional Brownian initial noise
• Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion
• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motions and with discontinuous coefficients
• Weak approximation of a fractional SDE
• Stochastic Schrödinger equation driven by cylindrical Wiener process and fractional Brownian motion
• scientific article; zbMATH DE number 6831086 (Why is no real title available?)
• scientific article; zbMATH DE number 7403681 (Why is no real title available?)
• EXISTENCE CRITERIA FOR SOLUTIONS OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH SKEW-SYMMETRIC DIFFERENTIAL OPERATOR AND ADDITIVE FRACTIONAL BROWNIAN NOISE
• On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions
• Existence of strong solutions for neuronal network dynamics driven by fractional Brownian motions
• Stochastic differential equations driven by an additive fractional Brownian sheet
• Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
• Weak solutions for stochastic differential equations with additive fractional noise
• Weak solutions for stochastic differential equations with additive fractional noise
• A note on weak existence for SDEs driven by fractional Brownian motion

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