Weak existence of a solution to a differential equation driven by a very rough fBm

Davar Khoshnevisan, Jason Swanson, Yimin Xiao +1

We prove that if $f:\mathbb{R}\to \mathbb{R}$ is Lipschitz continuous, then for every $H\in (0,1/4]$ there exists a probability space on which we can construct a fractional Brownian…