A singular stochastic differential equation driven by fractional Brownian motion

DOI10.1016/J.SPL.2008.01.080zbMATH Open1283.60089arXiv0711.2507OpenAlexW2005449656WikidataQ115341088 ScholiaQ115341088MaRDI QIDQ730713FDOQ730713

Authors: Yaozhong Hu, David Nualart, Xiaoming Song 

Publication date: 30 September 2009

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

Abstract: In this paper we study a singular stochastic differential equation driven by an additive fractional Brownian motion with Hurst parameter $H>frac12$. Under some assumptions on the drift, we show that there is a unique solution, which has moments of all orders. We also apply the techniques of Malliavin calculus to prove that the solution has an absolutely continuous law at any time $t>0$.

Full work available at URL: https://arxiv.org/abs/0711.2507

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Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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Cited In (39)

• Backward Euler method for stochastic differential equations with non-Lipschitz coefficients driven by fractional\ Brownian motion
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• Fractional diffusion Bessel processes with Hurst index \(H \in (0, \frac{1}{2})\)
• On the existence of solutions for stochastic differential equations driven by fractional Brownian motion
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• Stochastic Burgers' equation driven by fractional Brownian motion
• Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion
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• Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
• Differential equations driven by fractional Brownian motion
• Bismut-Elworthy-Li formula, singular SDEs, fractional Brownian motion, Malliavin calculus, stochastic flows, stochastic volatility
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• Sandwiched SDEs with unbounded drift driven by Hölder noises
• Weak solutions for stochastic differential equations with additive fractional noise
• Singularity functions for fractional processes: application to the fractional Brownian sheet
• EXISTENCE OF STRONG SOLUTIONS AND UNIQUENESS IN LAW FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION
• Option pricing in sandwiched Volterra volatility model
• Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient
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