Weak solutions for stochastic differential equations with additive fractional noise

Abstract

We give a new approach to prove the existence of a weak solution of \[dx_t = f(t,x_t)dt + g(t)dB^H_t\] where $B_t^H$ is a fractional Brownian motion with values in a separable Hilbert space for suitable functions $f$ and $g$. Our idea is to use the implicit function theorem and the scaling property of the fractional Brownian motion in order to obtain a weak solution for this equation.

10pages