相关论文: On explosion time in stochastic differential equat…

In this paper, we study a class of one-dimensional stochastic differential equations driven by fractional Brownian motion with Hurst parameter $H>\ff 1 2$. The drift term of the equation is locally Lipschitz and unbounded in the…

In this paper we show that under some assumptions, for a $d$-dimensional fractional Brownian motion with Hurst parameter $H>1/2$, the density of solution of stochastic differential equation driven by it has a short-time expansion similar to…

In this paper, we study the existence and (H\"older) regularity of local times of stochastic differential equations driven by fractional Brownian motions. In particular, we show that in one dimension and in the rough case H<1/2, the…

In this paper we prove a viability result for multidimensional, time dependent, stochastic differential equations driven by fractional Brownian motion with Hurst parameter1/2 < H < 1, using pathwise approach. The sufficient condition is…

In this paper we consider stochastic differential equations with non-negativity constraints, driven by a fractional Brownian motion with Hurst parameter $H>\1/2$. We first study an ordinary integral equation where the integral is defined in…

In this paper we use the It\^o's formula and comparison theorems to study the blow-up in finite time of stochastic differential equations driven by a Brownian motion. In particular, we obtain an extension of Osgood criterion, which can be…

In this article, we study a numerical scheme for stochastic differential equations driven by fractional Brownian motion with Hurst parameter H in (1/4; 1/2). Towards this end, we apply Doss-Sussmann representation of the solution and an…

In this paper, we apply rough paths techniques to provide an approximation of the solution of stochastic functional differential equations driven by fractional Brownian motion with Hurst parameter $H>1/2$. Here, the involved stochastic…

Given a fractional Brownian motion \,\,$(B_{t}^{H})_{t\geq 0}$,\, with Hurst parameter \,$> 1/2$\,\,we study the properties of all solutions of \,\,: {equation} X_{t}=B_{t}^{H}+\int_0^t X_{u}d\mu(u), \;\; 0\leq t\leq 1{equation} A different…

This article is concerned with stochastic differential equations driven by a $d$ dimensional fractional Brownian motion with Hurst parameter $H>1/4$, understood in the rough paths sense. Whenever the coefficients of the equation satisfy a…

This article is concerned with stochastic differential equations driven by a $d$ dimensional fractional Brownian motion with Hurst parameter $H>1/4$, understood in the rough paths sense. Whenever the coefficients of the equation satisfy a…

In this paper, we consider the problem of estimating the drift parameter of solution to the stochastic differential equation driven by a fractional Brownian motion with Hurst parameter less than $1/2$ under complete observation. We derive a…

This paper studies a stochastic functional differential equation driven by a fractional Brownian motion with Hurst parameter H>1/2, constrained to be reflected at 0. We prove the existence of solutions using the Euler method. However,…

This article is concerned with stochastic differential equations driven by a $d$ dimensional fractional Brownian motion with Hurst parameter $H>1/4$, understood in the rough paths sense. Whenever the coefficients of the equation satisfy a…

In this article we study a class of singular stochastic differential equations driven by fractional Brownian motion with Hurst parameter H<1/2. The solution is constructed as the limit of a family of approximating processes, and its…

We discuss a system of stochastic differential equations with a stiff linear term and additive noise driven by fractional Brownian motions (fBms) with Hurst parameter H>1/2, which arise e. g., from spatial approximations of stochastic…

The paper focuses on discrete-type approximations of solutions to non-homogeneous stochastic differential equations (SDEs) involving fractional Brownian motion (fBm). We prove that the rate of convergence for Euler approximations of…

In this paper, we study small-time asymptotic behaviors for a class of distribution dependent stochastic differential equations driven by fractional Brownian motions with Hurst parameter $H\in(1/2,1)$ and magnitude $\ep^H$. By building up a…

In this paper we study a singular stochastic differential equation driven by an additive fractional Brownian motion with Hurst parameter $H>\frac 12$. Under some assumptions on the drift, we show that there is a unique solution, which has…

In this paper we consider a n-dimensional stochastic differential equation driven by a fractional Brownian motion with Hurst parameter H>1/3. After solving this equation in a rather elementary way, following the approach of Gubinelli, we…