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arXiv · 1607.06748

Fractional stochastic differential equation with discontinuous diffusion

Johanna Garzón·Jorge A. León·Soledad Torres
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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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Johanna Garzón, Jorge A. León, Soledad Torres. 2016-07-22. Fractional stochastic differential equation with discontinuous diffusion. https://arxiv.org/abs/1607.06748

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