A singular stochastic differential equation driven by fractional Brownian motion

Yaozhong Hu, David Nualart and Xiaoming Song

Statistics & Probability Letters, 2008, vol. 78, issue 14, 2075-2085

Abstract: In this paper we study a singular stochastic differential equation driven by an additive fractional Brownian motion with Hurst parameter . Under some assumptions on the drift, we show that there is a unique solution, which has moments of all orders. We also apply the techniques of Malliavin calculus to prove that the solution has an absolutely continuous law at any time t>0.

Date: 2008
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Citations: View citations in EconPapers (27)

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