Fractional stochastic differential equation with discontinuous diffusion

2016/07/22 by Johanna Garzón, Garzón, Johanna, Jorge A. León +3
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1607.06748

arxiv created 2016/07/22 · arxiv updated 2016/07/25

Abstract

In this paper we study a stochastic differential equation driven by a fractional Brownian motion with a discontinuous coefficient. We also give an approximation to the solution of the equation. This is a first step to define a fractional version of the skew Brownian motion.

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