Stochastic fractional differential equations: modeling, method and analysis (Q2393250)

The initial value problem for stochastic fractional differential equations (SFDE) of Itō-Doob type \[ dx= b(t,x)\,dt+ \sigma_1(t, x)\,dB(t)+ \sigma_2(t, x)(dt)^\alpha,\quad x(t_0)= x_0,\tag{1} \] where \(\alpha\in (0,1)\); \(b,\,\sigma_1\in C([t_0, t_0+ T]\times\mathbb{R}^n, \mathbb{R}^n)\); \(\sigma_2\in C([t_0, t_0+ T]\times \mathbb{R}^n, \mathbb{R}^{nm})\) and \(B= \{B(t),\,t\geq 0\}\) is an \(m\)-dimensional Brownian motion, is considered. (1) can be rewritten in an equivalent form: \[ x(t)- x(t_0)= \int^t_{t_0} b(s,x(s))\,ds+ \int^t_{t_0} \sigma_1(s, x(s))\,dB(s)+ \alpha \int^t_{t_0} {\sigma_2(s, x(s))\over (t-s)^{1-\alpha}}\,ds. \] The authors prove the existence and uniqueness of a solution of the initial problem (1). They also discuss the methods for finding solutions of linear homogeneous and nonhomogeneous SFDEs. The results are applied to stochastic models in ecological and epidemiological processes of population dynamic.