| Title:
|
Weak solutions to stochastic differential equations driven by fractional Brownian motion (English) |
| Author:
|
Šnupárková, J. |
| Language:
|
English |
| Journal:
|
Czechoslovak Mathematical Journal |
| ISSN:
|
0011-4642 (print) |
| ISSN:
|
1572-9141 (online) |
| Volume:
|
59 |
| Issue:
|
4 |
| Year:
|
2009 |
| Pages:
|
879-907 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
Existence of a weak solution to the $n$-dimensional system of stochastic differential equations driven by a fractional Brownian motion with the Hurst parameter $H\in (0,1)\setminus \{\frac 12\}$ is shown for a time-dependent but state-independent diffusion and a drift that may by split into a regular part and a singular one which, however, satisfies the hypotheses of the Girsanov Theorem. In particular, a stochastic nonlinear oscillator driven by a fractional noise is considered. (English) |
| Keyword:
|
fractional Brownian motion |
| Keyword:
|
Girsanov theorem |
| Keyword:
|
weak solutions |
| MSC:
|
60G22 |
| MSC:
|
60H10 |
| idZBL:
|
Zbl 1224.60149 |
| idMR:
|
MR2563565 |
| . |
| Date available:
|
2010-07-20T15:47:40Z |
| Last updated:
|
2020-07-03 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/140524 |
| . |
| Reference:
|
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