[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.4134/BKMS.b180345

STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY AN ADDITIVE FRACTIONAL BROWNIAN SHEET

El Barrimi, Oussama (Department of Mathematics Faculty of Sciences Semlalia Cadi Ayyad University)
Ouknine, Youssef (Department of Mathematics Faculty of Sciences Semlalia Cadi Ayyad University)

Publication Information

Bulletin of the Korean Mathematical Society / v.56, no.2, 2019 , pp. 479-489 More about this Journal

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; stochastic differential equations; weak solutions;

Citations & Related Records

Reference

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