1. Regularization of differential equations by two fractional noises.
- Author
-
Nualart, David and Sönmez, Ercan
- Subjects
FRACTIONAL differential equations ,BROWNIAN motion ,OPERATOR theory ,STOCHASTIC differential equations ,FRACTIONAL calculus ,NOISE - Abstract
In this paper, we show the existence and uniqueness of a solution for a stochastic differential equation driven by an additive noise which is the sum of two fractional Brownian motions with different Hurst parameters. The proofs are based on the techniques of fractional calculus and Girsanov theorem. In particular, we show that the regularization effect of the fractional Brownian motion with the smaller Hurst index dominates. A key challenge in this paper is to extend and apply the Girsanov theorem for two noises given by the sum of two (dependent) fractional Brownian motions by using profound techniques of fractional operator theory. [ABSTRACT FROM AUTHOR]
- Published
- 2022
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