Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach

This paper presents some sufficient and necessary conditions for reducing the nonlinear stochastic differential equations (SDEs) with fractional Brownian motion (fBm) to the linear SDEs. The explicit solution of the reduced equation is computed by its integral equation or the variation of parameters technique. Two illustrative examples are provided to demonstrate the applicability of the proposed approach.