A singular stochastic differential equation driven by fractional Brownian motion
Probability
2007-11-19 v1
Abstract
In this paper we study a singular stochastic differential equation driven by an additive fractional Brownian motion with Hurst parameter . 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 .
Cite
@article{arxiv.0711.2507,
title = {A singular stochastic differential equation driven by fractional Brownian motion},
author = {Yaozhong Hu and David Nualart and Xiaoming Song},
journal= {arXiv preprint arXiv:0711.2507},
year = {2007}
}