Weak solutions for stochastic differential equations with additive fractional noise
Keyword(s):
In this paper, by using a transformation formula for fractional Brownian motion (fBm), we prove the existence of weak solutions to stochastic differential equations driven by an additive fBm with Hurst parameter [Formula: see text] under the linear growth condition. Furthermore, we also consider the uniqueness in law and the pathwise uniqueness of the weak solution.
2004 ◽
Vol 70
(4)
◽
pp. 253-261
◽
2014 ◽
Vol 50
(8)
◽
pp. 1053-1069
◽
1999 ◽
Vol 7
(3)
◽
2009 ◽
Vol 09
(03)
◽
pp. 423-435
◽
1984 ◽
Vol 17
(1)
◽
pp. 137-146
◽
2002 ◽
Vol 46
(3)
◽
pp. 406-419
◽
1985 ◽
Vol 290
(1)
◽
pp. 345-345
◽