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• W3133780309 abstract "Abstract In this paper, we prove the existence of strong solutions to an stochastic differential equation with a generalized drift driven by a multidimensional fractional Brownian motion for small Hurst parameters $$H<frac{1}{2}.$$ <mml:math xmlns:mml=http://www.w3.org/1998/Math/MathML> <mml:mrow> <mml:mi>H</mml:mi> <mml:mo><</mml:mo> <mml:mfrac> <mml:mn>1</mml:mn> <mml:mn>2</mml:mn> </mml:mfrac> <mml:mo>.</mml:mo> </mml:mrow> </mml:math> 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." @default.
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• W3133780309 date "2021-03-08" @default.
• W3133780309 modified "2023-09-26" @default.
• W3133780309 title "Strong Solutions of Stochastic Differential Equations with Generalized Drift and Multidimensional Fractional Brownian Initial Noise" @default.
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• W3133780309 doi "https://doi.org/10.1007/s10959-021-01084-7" @default.
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