A singular stochastic differential equation driven by fractional Brownian motion

DOI10.1016/J.SPL.2008.01.080MaRDI QIDQ730713zbMATH OpenOpenAlexWikidataFDO

Authors Yaozhong Hu, David Nualart, Xiaoming Song

Publication date 30 September 2009

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

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

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)

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 $t>0$.

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