Stochastic differential equations driven by an additive fractional Brownian sheet.
Bull. Korean Math. Soc.
Published online 2018 Oct 24
Oussama ELBARRIMI, and Youssef Ouknine
Department of Mathematics-Cadi ayyad university-Marrakesh-Morocco
Abstract : In this paper, we show the existence of a weak solution for a stochastic differential
equation driven by an additive fractional Brownian sheet with Hurst parameters H,H' >1>2, and a drift coefficient satisfying the linear growth condition. The result is obtained using a suitable Girsanov theorem for the fractional Brownian sheet.
Keywords : Fractional Brownian sheet
MSC numbers : 60G22
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