Bull. Korean Math. Soc. 2019; 56(2): 479-489
Online first article October 24, 2018 Printed March 1, 2019
https://doi.org/10.4134/BKMS.b180345
Copyright © The Korean Mathematical Society.
Oussama El Barrimi, Youssef Ouknine
Cadi Ayyad University; Mohammed VI polytechnic University Ben Ghuerir
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, stochastic differential equations, weak solutions
MSC numbers: 60G22, 60G15
2018; 55(1): 9-23
2015; 52(2): 619-626
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