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Strong solutions of SDEs with generalized drift and multidimensional fractional Brownian initial noise

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 نشر من قبل David Ba\\~nos
 تاريخ النشر 2017
  مجال البحث
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In this paper we prove the existence of strong solutions to a SDE with a generalized drift driven by a multidimensional fractional Brownian motion for small Hurst parameters H<1/2. Here the generalized drift is given as the local time of the unknown solution process, which can be considered an extension of the concept of a skew Brownian motion to the case of fractional Brownian motion. Our approach for the construction of strong solutions is new and relies on techniques from Malliavin calculus combined with a local time variational calculus argument.



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