Fractional stochastic differential equation with discontinuous diffusion
Probability
2016-07-25 v1
Abstract
In this paper we study a stochastic differential equation driven by a fractional Brownian motion with a discontinuous coefficient. We also give an approximation to the solution of the equation. This is a first step to define a fractional version of the skew Brownian motion.
Cite
@article{arxiv.1607.06748,
title = {Fractional stochastic differential equation with discontinuous diffusion},
author = {Johanna Garzón and Jorge A. León and Soledad Torres},
journal= {arXiv preprint arXiv:1607.06748},
year = {2016}
}