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Abstract In this paper, we study a class of stochastic differential equations with a time-dependent diffusion driven by a fractional Brownian motion with Hurst parameter 1 ∕ 2 H 1… Click to show full abstract
Abstract In this paper, we study a class of stochastic differential equations with a time-dependent diffusion driven by a fractional Brownian motion with Hurst parameter 1 ∕ 2 H 1 . By using a transformation formula for fractional Brownian motion, we prove the existence of weak solutions to this kind of equations under the linear growth condition, but the drift can be discontinuous. Some known results are improved.
Keywords:
stochastic differential;
equations time;
differential equations;
fractional brownian;
brownian motion
Journal Title: Physica A: Statistical Mechanics and its Applications
Year Published: 2019
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Journal Title: Physica A: Statistical Mechanics and its Applications
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!