A singular stochastic differential equation driven by fractional Brownian motion

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dc.creatorHu, Yaozhong
dc.creatorNualart, David
dc.creatorSong, Xiaoming
dc.date2007-11-15
dc.date.accessioned2026-07-07T08:43:19Z
dc.date.available2026-07-07T08:43:19Z
dc.descriptionIn this paper we study a singular stochastic differential equation driven by an additive fractional Brownian motion with Hurst parameter $H>\frac 12$. 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 $t>0$.
dc.identifierhttps://arxiv.org/abs/0711.2507
dc.identifierhttp://arxiv.org/abs/0711.2507
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/142273
dc.subjectProbability
dc.subject60H10, 60H07, 60H05
dc.titleA singular stochastic differential equation driven by fractional Brownian motion
dc.typetext

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