Stochastic differential equations driven by fractional Brownian motion and Poisson point process (Q2345122)

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Stochastic differential equations driven by fractional Brownian motion and Poisson point process
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    Stochastic differential equations driven by fractional Brownian motion and Poisson point process (English)
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    19 May 2015
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    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.
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    stochastic differential equations
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    fractional Brownian motion
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    Poisson point process
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    discontinuous fractional calculus
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    fractional Wiener-Poisson space
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