On the existence of solutions for stochastic differential equations driven by fractional Brownian motion

DOI10.2298/FIL1906695LzbMath1499.60227OpenAlexW3003707542MaRDI QIDQ5080793

Zhi Li

Publication date: 31 May 2022

Published in: Filomat (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2298/fil1906695l

zbMATH Keywords

fractional Brownian motioncomparison theoremdiscontinuous drift

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• One-dimensional BSDEs with left-continuous, lower semi-continuous and linear-growth generators
• Differential equations driven by fractional Brownian motion
• On a SDE driven by a fractional Brownian motion and with monotone drift
• Regularization of differential equations by fractional noise.
• Mixed fractional stochastic differential equations with jumps
• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
• Deterministic characterization of viability for stochastic differential equation driven by fractional Brownian motion
• Weak solutions for stochastic differential equations with additive fractional noise
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

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