Stochastic differential equations with additive fractional noise and locally unbounded drift
Let \(B^H= \{B^H_t,\,t\in [0,T]\}\) be a fractional Brownian motion with parameter \(H\in (0,1)\). That is, \(B^H\) is a centered Gaussian process with covariance \[ R_H(t, s)= \mathbb{E}(B^H_t B^H_s)= \tfrac12(t^{2H}+ s^{2H}-| t-s|^{2H}). \] If \(H= {1\over 2}\), the process is a standard motion \(\mathbb{E}(B^H_t- B^H_s)^2= | t- s|^{2H}\) and this implies that the process \(B^H\) has \((H-\varepsilon)\)-Hölder continuous trajectories for all \(\varepsilon> 0\). The authors consider the following stochastic differential equation \[ X_t= x_0+ B^H_t+ \int^t_0 b(s,X_s)\,ds,\quad 0\leq t\leq T,\tag{1} \] where \(b: [0,T]\times \mathbb{R}\) is a Borel function. The authors establish the existence and uniqueness of a strong solution to this equation in the case \(H \in (0,{1\over 2})\) under the following integrability assumption on the coefficient \(b(t,x)\): \(b(t,x)^2\leq C+ F(t, x),\) where \(F\) is a nonnegative Borel function satisfying \(\int^T_0 ( \int_\mathbb{R}| F(t, x)|^p dx)^{\beta/p}\,dt< \infty\) for some \(p> 1\) and \(\beta> p/ (p-H)\). Note that the drift can be locally unbounded. The authors proved [Stochastic Processes Appl. 102, 103--116 (2002)] the existence of a unique solution to equation (1) when \(b\) satisfies the linear growth condition \[ | b(t,x)|\leq C(1+| x|).\tag{2} \] If \(H>{1\over 2}\), the process \(B^H\) has a smaller regularization effect. In the case \(H=\tfrac 12\), the existence and uniqueness of a strong solution when \(b\) satisfies the linear growth condition (2) has been first proved by \textit{A. K. Zvonkin} [Mat. Sb., N. Ser. 93(135), 129--149 (1974; Zbl 0291.60036)] and \textit{A. Yu. Veretennikov} [Teor. Veroyatn. Primen. 26, 685--700 (1981; Zbl 0489.60069); and Math. USSR, Sb. 39, 387--403 (1981), translation from Mat. Sb., Nov. Ser. 111(153), 434--452 (1980; Zbl 0431.60061)]. See also \textit{S. Nakao} [Osaka J. Math. 9, 513--518 (1972; Zbl 0255.60039) and J. Math. Kyoto Univ. 12, 151--178 (1972; Zbl 0235.60056)], \textit{Y. Ouknine} [Stochastics 23, 149--157 (1988; Zbl 0637.60059)] and \textit{I. Gyöngy} and \textit{N. Krylov} [Probab. Theory Relat. Fields 105, 143--158 (1996; Zbl 0847.60038)]. First they apply a version of Girsanov theorem for the fractional Brownian motion and obtain the weak existence and uniqueness of the solution. This is the contents of Section 2. The existence of a strong solution is established in Section 3 using Krylov-type estimates and the comparison theorem. For the entire collection see [Zbl 1024.00031].
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