4 papers
Strong uniqueness for fractional stochastic differential equations with sign drift
Ercan Sönmez, Yuliya Mishura
Establishing pathwise uniqueness for stochastic differential equations driven by fractional Brownian motion with Hurst parameter remains challenging, particularly for disco…
Tanaka formula for SDEs driven by fractional Brownian motion
Tommi Sottinen, Ercan Sönmez, Lauri Viitasaari
We derive a Tanaka-type formula for the solution of a stochastic differential equation (SDE) driven by fractional Brownian motion (fBm) with Hurst parameter . Whil…
Gaussian-type density estimates for mixed SDEs driven by correlated fractional Brownian motions
Maximilian Buthenhoff, Ercan Sönmez
In this work, we investigate the existence and properties of Gaussian-like densities for weak solutions of multidimensional stochastic differential equations driven by a mixture of…
Strong solutions for singular SDEs driven by long-range dependent fractional Brownian motion and other Volterra processes
Maximilian Buthenhoff, Ercan Sönmez
We investigate the well-posedness of stochastic differential equations driven by fractional Brownian motion, focusing on the long-range dependent case . Whi…