Fractional stochastic differential equation with discontinuous diffusion |
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| Authors: | Johanna Garzón Jorge A León |
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| Institution: | 1. Departamento de Matemáticas, Universidad Nacional de Colombia, Bogotá, Colombia;2. Departamento de Control Automático, Cinvestav-IPN, Ciudad de México, Mexico |
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| Abstract: | In this article, we study a class of stochastic differential equations driven by a fractional Brownian motion with H > 1/2 and a discontinuous coefficient in the diffusion. We prove existence and uniqueness for the solution of these equations. This is a first step to define a fractional version of the skew Brownian motion. |
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| Keywords: | Fractional Brownian motion fractional calculus pathwise differential equations young integral |
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