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Journal article
A singular stochastic differential equation driven by fractional Brownian motion
Statistics & probability letters, v 78(14), pp 2075-2085
01 Oct 2008
Abstract
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.
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Details
- Title
- A singular stochastic differential equation driven by fractional Brownian motion
- Creators
- Yaozhong Hu - University of KansasDavid Nualart - University of KansasXiaoming Song - University of Kansas
- Publication Details
- Statistics & probability letters, v 78(14), pp 2075-2085
- Publisher
- Elsevier
- Number of pages
- 11
- Grant note
- DMS0504783; DMS0604207 / NSF; National Science Foundation (NSF)
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Mathematics
- Web of Science ID
- WOS:000259885200012
- Scopus ID
- 2-s2.0-50649111190
- Other Identifier
- 991021864578904721
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- Web of Science research areas
- Statistics & Probability