参数H>1/2分式布朗运动的随机微分方程的弱解

Weak Solution for Stochastic Differential Equation Driven by a Fractional Brownian Motion with Parameter H>1/2

讨论了赫尔斯特参数H>1/2的一个可加分式布朗运动,其中漂移系数不连续的随机微分方程弱解的存在性,并根据分式布朗运动条件下的Girsanov定理证明了这个结果.

This paper shows the existence of a weak solution for a stochastic differential equation driven by an additive fractional Brownian motion with Hurst parameter H 〉 1/2 , and a discontinuous drift. The result is based on Girsanov theorem for the fractional Brownian motion.