Weak solutions to stochastic differential equations driven by fractional brownian motion

DOI10.1007/S10587-009-0062-YzbMATH Open1224.60149OpenAlexW2158838731MaRDI QIDQ3070168FDOQ3070168

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

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zbMATH Keywords

fractional Brownian motionweak solutionGirsanov theorem

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 (12)

• EXISTENCE CRITERIA FOR SOLUTIONS OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH SKEW-SYMMETRIC DIFFERENTIAL OPERATOR AND ADDITIVE FRACTIONAL BROWNIAN NOISE
• Title not available (Why is that?)
• Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion
• Weak approximation of a fractional SDE
• Weak solutions for stochastic differential equations with additive fractional noise
• Weak solutions for stochastic differential equations with additive fractional noise
• Stochastic Schrödinger equation driven by cylindrical Wiener process and fractional Brownian motion
• 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
• Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts
• Title not available (Why is that?)
• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motions and with discontinuous coefficients

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