A note on weak existence for SDEs driven by fractional Brownian motion
Probability
2023-09-12 v2
Abstract
We are interested in existence of solutions to the -dimensional equation \begin{equation*} X_t=x_0+\int_0^t b(X_s)ds + B_t, \end{equation*} where is a (fractional) Brownian motion with Hurst parameter and is an -valued measure in some Besov space. We exhibit a class of drifts such that weak existence holds. In particular existence of a weak solution is shown for being a finite -valued measure for any .
Cite
@article{arxiv.2303.17970,
title = {A note on weak existence for SDEs driven by fractional Brownian motion},
author = {Lukas Anzeletti},
journal= {arXiv preprint arXiv:2303.17970},
year = {2023}
}
Comments
Accepted in Matem\'atica Contempor\^anea. arXiv admin note: text overlap with arXiv:2112.05685