A brush that splits is a nightmare!!!
Sometimes a brush splits because you are not using it on the side it wants to be used on, consistently.
You must never use a brush 'against the grain' so to speak. Every brush has 2 sides (one opposite the other) that it likes to be used. You can feel it when you use it and you can see it when the hairs all lay out nice and straight and flat. Many people who don't know how to use a brush tend to twist the brush in their fingers, getting the hairs kind of mixed
up, and then the brush starts to split. Perhaps you have done this? I don't know your experience with using brushes.
How can you fix it? You may not be able to, but try this.
Dip your brush into hot hot water that has been recently boiled. Lay it against a paper towel and comb or brush the hairs out straight with something and get them all lying in the same direction. Dip again in the hot water and repeat. Dip again and then either squeeze the brush out flat (if you like to work that way) or taper to a point and let DRY completely (if you like to use your brush that way). I have 'fixed' many a brush for students this way.
After this try using the brush again and see how it goes. If it continues to split, I would return it for another if they will let you.