Weak solutions to stochastic differential equations driven by fractional brownian motion

DOI10.1007/s10587-009-0062-yzbMath1224.60149OpenAlexW2158838731MaRDI QIDQ3070168

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

zbMATH Keywords

weak solutionfractional Brownian motionGirsanov theorem

Mathematics Subject Classification ID

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

Related Items

Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion ⋮ Weak solutions for stochastic differential equations with additive fractional noise ⋮ Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Differential equations driven by rough signals
• Stochastic analysis of the fractional Brownian motion
• Evolution equations driven by a fractional Brownian motion
• Differential equations driven by fractional Brownian motion
• Weak solutions for stochastic differential equations with additive fractional noise
• On a SDE driven by a fractional Brownian motion and with monotone drift
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• On the absolute continuity of one-dimensional SDEs driven by a fractional Brownian motion
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• Regularization of differential equations by fractional noise.
• Integral transformations and anticipative calculus for fractional Brownian motions
• Semilinear Stochastic Equations in a Hilbert Space with a Fractional Brownian Motion
• Existence and uniqueness for solutions of one dimensional SDE'<scp>s</scp> driven by an additive fractional noise
• Stochastic differential equations with fractal noise
• Stochastic calculus with respect to Gaussian processes
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion
• Stochastic Equations in Infinite Dimensions