Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion

被引：9

作者：

Li, Zhi ^{[1
]}

Zhan, Wentao ^{[1
]}

Xu, Liping ^{[1
]}

机构：

[1] Yangtze Univ, Sch Informat & Math, Jingzhou 434023, Hubei, Peoples R China

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2019年 / 530卷

关键词：

Stochastic differential equations; Fractional Brownian motion; Girsanov theorem; WEAK SOLUTIONS; FORMULAS; RESPECT;

D O I：

10.1016/j.physa.2019.121565

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

In this paper, we study a class of stochastic differential equations with a time-dependent diffusion driven by a fractional Brownian motion with Hurst parameter 1/2 < H < 1. By using a transformation formula for fractional Brownian motion, we prove the existence of weak solutions to this kind of equations under the linear growth condition, but the drift can be discontinuous. Some known results are improved. (C) 2019 Elsevier B.V. All rights reserved.

引用

页数：11

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