Let ${B_{t}^{H},t\in \lbrack 0,T]}$ be a fractional Brownian motion with Hurst parameter $H > \frac{1}{2}$. We prove the existence of a weak solution for a stochastic differential equation of the form $X_{t}=x+B_{t}^{H}+ \int_{0}^{t}\left( b_{1}(s,X_{s})+b_{2}(s,X_{s})\right) ds$, where $ b_{1}(s,x)$ is a…
Fecha:
2003-01-01
Recurso:
Electronic communications in probability
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