Stochastic differential equations with additive fractional noise and locally unbounded drift

被引：0
|
作者：
Nualart, D [1 ]
Ouknine, Y [1 ]
机构：
[1] Univ Barcelona, Fac Matemat, Barcelona, Spain
来源：
STOCHASTIC INEQUALITIES AND APPLICATIONS | 2003年 / 56卷
关键词：
ractional brownian motion; stochastic differential equations; Girsanov theorem;
D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Let {B-t(H), t epsilon T]} be a fractional Brownian motion with Hurst parameter H < 1/2. We prove the existence and uniqueness of a strong solution for a stochastic differential equation of the form X-t = x(0) + B-t(H) integral(0)(t) b(s, X-s)ds, where b(s, x) is not locally bounded and satisfies a suitable integrability condition.
引用
收藏
页码：353 / 365
页数：13
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