Bulletin of the Korean Mathematical Society (대한수학회보)

Korean Mathematical Society (대한수학회)
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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)
  • Received : 2018.04.09
  • Accepted : 2018.08.13
  • Published : 2019.03.31
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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.

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References

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