A singular stochastic differential equation driven by fractional Brownian motion

被引：30

作者：

Hu, Yaozhong ^{[1
]}

Nualart, David ^{[1
]}

Song, Xiaoming ^{[1
]}

机构：

[1] Univ Kansas, Dept Math, Lawrence, KS 66045 USA

来源：

STATISTICS & PROBABILITY LETTERS | 2008年 / 78卷 / 14期

关键词：

D O I：

10.1016/j.spl.2008.01.080

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we study a singular stochastic differential equation driven by an additive fractional Brownian motion with Hurst parameter H > 1/2. Under some assumptions on the drift, we show that there is a unique solution, which has moments of all orders. We also apply the techniques of Malliavin calculus to prove that the solution has an absolutely continuous law at any time t > 0. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：2075 / 2085

页数：11

共 19 条

[1]

[Anonymous], 1991, DEGRUYTER STUDIES MA

[2] ON A SDE DRIVEN BY A FRACTIONAL BROWNIAN MOTION AND WITH MONOTONE DRIFT [J].