A fractional stochastic differential equation with discontinuous diffusion driven by fBm with Hurst parameter less than 1∕2

Bernoulli 2026

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Authors: Johanna Garzón, Jorge A. León, Jorge Lozada, Soledad Torres
DOI: 10.3150/25-bej1888
Cited by: 0
References: 24

Abstract

The aim of this paper is to show the existence and uniqueness for the solution to a stochastic differential equation driven by fractional Brownian motion with Hurst parameter H1∕2.

Fields of Study & Subjects

Stochastic processes and financial applications Nonlinear Differential Equations Analysis Fuzzy Systems and Optimization

Publication details

Journal / source
Bernoulli
Volume
32
Issue
2
Pages
978–995
Publication date
29 January 2026