Displaying similar documents to “Skorohod embedding in Brownian motion in R n ”

Weak solutions to stochastic differential equations driven by fractional Brownian motion

J. Šnupárková (2009)

Czechoslovak Mathematical Journal

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Existence of a weak solution to the n -dimensional system of stochastic differential equations driven by a fractional Brownian motion with the Hurst parameter H ∈ ( 0 , 1 ) ∖ { 1 2 } is shown for a time-dependent but state-independent diffusion and a drift that may by split into a regular part and a singular one which, however, satisfies the hypotheses of the Girsanov Theorem. In particular, a stochastic nonlinear oscillator driven by a fractional noise is considered.