Weak solutions to stochastic differential equations driven by fractional Brownian motion
1.
SYSNO ASEP
0331176
Document Type
J - Journal Article
R&D Document Type
Journal Article
Subsidiary J
Článek ve WOS
Title
Weak solutions to stochastic differential equations driven by fractional Brownian motion
Title
Slabá řešení stochastických diferenciálních rovnic perturbovaných frakcionálním Brownovým pohybem
Author(s)
Šnupárková, Jana (UTIA-B)
Source Title
Czechoslovak Mathematical Journal. - : Springer
- ISSN 0011-4642
Roč. 59, č. 4 (2009), s. 879-907
Number of pages
29 s.
Language
eng - English
Country
CZ - Czech Republic
Keywords
fractional Brownian motion ; weak solutions
Subject RIV
BA - General Mathematics
R&D Projects
GA201/07/0237 GA ČR - Czech Science Foundation (CSF)
CEZ
AV0Z10750506 - UTIA-B (2005-2011)
UT WOS
000271641800003
Annotation
Existence of weak solutions to an n-dimensional system of stochastic differential equations driven by a fractional Brownian motion is shown for a time-dependent but state-independent diffusion and a drift that may be rather singular.
