Stochastic differential equations driven by fractional Brownian motion and Poisson point process (Q2345122): Difference between revisions

For scalar stochastic differential equations of the form \[ X_t=x+\int_0^tb(s,X_s)\,ds+\sigma B_t^H-L_t,\quad t\in[0,T], \] where \(B^H\) is a fractional Brownian motion with Hurst parameter \(H\in(0,1)\) and \(L\) is a Poisson point process of class (QL), independent of \(B^H\), existence and uniqueness of solutions is investigated. Assuming growth conditions on \(b:[0,T]\times\mathbb R\to\mathbb R\) for \(H<1/2\) and Hölder conditions for \(H>1/2\), first existence and uniqueness of a weak solution is established using ``fractional calculus'' on the fractional Wiener-Poisson space. Then a Krylov type estimate is used to obtain also existence of the strong solution.