Weak solutions for stochastic differential equations with additive fractional noise

DOI10.1142/S0219493719500175zbMath1415.60076OpenAlexW2810835742MaRDI QIDQ5384782

Zhi Li, Litan Yan, Li-Ping Xu

Publication date: 25 June 2019

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493719500175

zbMATH Keywords

stochastic differential equationweak solutionfractional Brownian motionGirsanov theorem

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (1)

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

Cites Work

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• Transformation formulas for fractional Brownian motion
• Stochastic analysis of the fractional Brownian motion
• Regularization of differential equations by fractional noise.
• ON STRONG SOLUTIONS AND EXPLICIT FORMULAS FOR SOLUTIONS OF STOCHASTIC INTEGRAL EQUATIONS
• Stochastic calculus with respect to Gaussian processes
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

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