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Stochastic differential equations driven by an additive fractional Brownian sheet

Oussama El Barrimi|Youssef Ouknine
대한수학회 (The Korean Mathematical Society)|2019.03|대한수학회보 (Bulletin of the KMS)|제56권 제2호|pp. 479-489|DOI 10.4134/BKMS.b180345

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참고문헌

키워드

weak solutionsfractional Brownian sheetstochastic differential equations
주제분류수학

초록

In this paper, we show the existence of a weak solution for a stochastic differential equation driven by an additive fractional Brownian sheet with Hurst parameters $H,H' > 1/2$, and a drift coefficient satisfying the linear growth condition. The result is obtained using a suitable Girsanov theorem for the fractional Brownian sheet.

Abstract

In this paper, we show the existence of a weak solution for a stochastic differential equation driven by an additive fractional Brownian sheet with Hurst parameters $H,H' > 1/2$, and a drift coefficient satisfying the linear growth condition. The result is obtained using a suitable Girsanov theorem for the fractional Brownian sheet.

참고문헌 (16)

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