Translator Disclaimer
2003 On a SDE driven by a fractional Brownian motion and with monotone drift
Brahim Boufoussi, Youssef Ouknine
Author Affiliations +
Electron. Commun. Probab. 8: 122-134 (2003). DOI: 10.1214/ECP.v8-1084

Abstract

Let ${B_{t}^{H},t\in \lbrack 0,T]}$ be a fractional Brownian motion with Hurst parameter $H \gt \frac{1}{2}$. We prove the existence of a weak solution for a stochastic differential equation of the form $X_{t}=x+B_{t}^{H}+ \int_{0}^{t}\left( b_{1}(s,X_{s})+b_{2}(s,X_{s})\right) ds$, where $ b_{1}(s,x)$ is a Holder continuous function of order strictly larger than $1-\frac{1}{2H}$ in $x$ and than $H-\frac{1}{2}$ in time and $b_{2}$ is a real bounded nondecreasing and left (or right) continuous function.

Citation

Download Citation

Brahim Boufoussi. Youssef Ouknine. "On a SDE driven by a fractional Brownian motion and with monotone drift." Electron. Commun. Probab. 8 122 - 134, 2003. https://doi.org/10.1214/ECP.v8-1084

Information

Accepted: 7 October 2003; Published: 2003
First available in Project Euclid: 18 May 2016

zbMATH: 1060.60060
MathSciNet: MR2042751
Digital Object Identifier: 10.1214/ECP.v8-1084

Subjects:
Primary: 60H10
Secondary: 60G18

JOURNAL ARTICLE
13 PAGES


SHARE
Back to Top