# Girsanov Theorem for Multifractional Brownian Processes

## TL;DR

This paper introduces a new multifractional derivative operator based on variable order calculus, enabling analysis of stochastic differential equations driven by non-stationary multifractional Brownian motion with applications in stochastic and functional analysis.

## Contribution

It develops a novel multifractional derivative operator as the inverse of the integral, extending fractional calculus to variable orders and applying it to stochastic differential equations.

## Key findings

- Constructed a multifractional derivative operator solving Abel's integral equation.
- Applied the operator to establish strong solutions for SDEs with multifractional Brownian motion.
- Extended previous work on fractional calculus and stochastic analysis to variable order contexts.

## Abstract

In this article we will present a new perspective on the variable order fractional calculus, which allows for differentiation and integration to a variable order, i.e. one differentiates (or integrates) a function along the path of a regularity function. The concept of multifractional calculus has been a scarcely studied topic within the field of functional analysis in the last 20 years. We develop a multifractional derivative operator which acts as the inverse of the multifractional integral operator. This is done by solving the Abel integral equation generalized to a multifractional order. With this new multifractional derivative operator, we are able to analyze a variety of new problems, both in the field of stochastic analysis and in fractional and functional analysis, ranging from regularization properties of noise to solutions to multifractional differential equations. In this paper, we will focus on application of the derivative operator to the construction of strong solutions to stochastic differential equations where the drift coefficient is merely of linear growth, and the driving noise is given by a non-stationary multifractional Brownian motion with a Hurst parameter as a function of time. The Hurst functions we study will take values in a bounded subset of (0,1/2). The application of multifractional calculus to SDE's is based on a generalization of the works of D. Nualart and Y. Ouknine from 2002.