Weak solutions to stochastic differential equations driven by fractional brownian motion |
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Authors: | J. Šnupárková |
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Affiliation: | 1.Institute of Information Theory and Automation of the ASCR,Prague 8,Czech Republic |
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Abstract: | Existence of a weak solution to the n-dimensional system of stochastic differential equations driven by a fractional Brownian motion with the Hurst parameter H ∈ (0, 1) {1/2} is shown for a time-dependent but state-independent diffusion and a drift that may by split into a regular part and a singular one which, however, satisfies the hypotheses of the Girsanov Theorem. In particular, a stochastic nonlinear oscillator driven by a fractional noise is considered. |
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