Regularization of differential equations by fractional noise

Let {BtH,t[set membership, variant][0,T]} be a fractional Brownian motion with Hurst parameter H. We prove the existence and uniqueness of a strong solution for a stochastic differential equation of the form , where b(s,x) is a bounded Borel function with linear growth in x (case ) or a Hölder continuous function of order strictly larger than 1-1/2H in x and than in time (case ).

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Year of publication:	2002
Authors:	Nualart, David ; Ouknine, Youssef
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 102.2002, 1, p. 103-116
Publisher:	Elsevier
Keywords:	Fractional Brownian motion Stochastic integrals Malliavin calculus

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873690