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Weak solutions for stochastic differential equations with additive fractional noise

Authors:	Yu Mishura D Nualart

Institution:	^aMathematical Department, Kyiv National Taras Shevchenko University, Vladimirskaya 64, 01033 Kiev, Ukraine ^bFacultat de Matemàtiques, Universitat de Barcelona, Gran Via 585, 08007 Barcelona, Spain

Abstract:	In this paper, we show the existence of a weak solution for a stochastic differential equation driven by an additive fractional Brownian motion with Hurst parameter , and a discontinuous drift. The proof of this result is based on the Girsanov theorem for the fractional Brownian motion.

Keywords:	Fractional Brownian motion Stochastic differential equations Weak solutions Discontinuous drift
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