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On a SDE driven by a fractional Brownian motion and with monotone drift


 
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1. Title Title of document On a SDE driven by a fractional Brownian motion and with monotone drift
 
2. Creator Author's name, affiliation, country Brahim Boufoussi; Department of Mathematics, Cadi Ayyad University FSSM
 
2. Creator Author's name, affiliation, country Youssef Ouknine; Universite Cadi Ayyad
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Fractional Brownian motion, Stochastic integrals, Girsanov transform
 
3. Subject Subject classification 60H10, 60G18
 
4. Description Abstract 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 Holder continuous function of order strictly larger than $1-\frac{1}{2H}$ in $x$ and than $H-\frac{1}{2}$ in time and $b_{2}$ is a real bounded nondecreasing and left (or right) continuous function.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) PSR program 2001, Cadi Ayyad university.
 
7. Date (YYYY-MM-DD) 2003-10-07
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1084
 
10. Identifier Digital Object Identifier 10.1214/ECP.v8-1084
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 8
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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