Strong Solutions of Stochastic Differential Equations with Generalized Drift and Multidimensional Fractional Brownian Initial Noise

David Baños (), Salvador Ortiz-Latorre (), Andrey Pilipenko () and Frank Proske ()
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David Baños: University of Oslo
Salvador Ortiz-Latorre: University of Oslo
Andrey Pilipenko: National Academy of Sciences of Ukraine
Frank Proske: University of Oslo

Journal of Theoretical Probability, 2022, vol. 35, issue 2, 714-771

Abstract: Abstract In this paper, we prove the existence of strong solutions to an stochastic differential equation with a generalized drift driven by a multidimensional fractional Brownian motion for small Hurst parameters $$H

Keywords: Stochastic differential equations; Compactness criterion; Generalized drift; Malliavin calculus; Reflected Stochastic differential equations; 60H07; 60H10; 60H50 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10959-021-01084-7

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