English

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 dd-dimensional equation \begin{equation*} X_t=x_0+\int_0^t b(X_s)ds + B_t, \end{equation*} where BB is a (fractional) Brownian motion with Hurst parameter H1/2H\leqslant 1/2 and bb is an Rd\mathbb{R}^d-valued measure in some Besov space. We exhibit a class of drifts bb such that weak existence holds. In particular existence of a weak solution is shown for bb being a finite Rd\mathbb{R}^d-valued measure for any H<1/(2d)H<1/(2d).

Keywords

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

R2 v1 2026-06-28T09:42:54.374Z