Mixed stochastic differential equations: existence and uniqueness result
From MaRDI portal
Publication:1661595
Abstract: In this paper we shall establish an existence and uniqueness result for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter $H > frac{1}{2} and a multidimensional standard Brownian motion under a weaker condition than the Lipschitz one.
Recommendations
- Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
- Existence and uniqueness of the solution of stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index \(H > 1/2\)
- Existence and uniqueness for solutions of mixed stochastic delay differential equations
- EXISTENCE OF STRONG SOLUTIONS AND UNIQUENESS IN LAW FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION
- scientific article; zbMATH DE number 5220424
Cites work
- scientific article; zbMATH DE number 1484659 (Why is no real title available?)
- A generalization of a lemma of bellman and its application to uniqueness problems of differential equations
- Adapted solutions of backward stochastic differential equations with non- Lipschitz coefficients
- An inequality of the Hölder type, connected with Stieltjes integration
- Approximation des équations différentielles stochastiques par des équations à retard
- Differential equations driven by fractional Brownian motion
- Differential equations driven by rough signals
- Existence and uniqueness of the solution of stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index \(H > 1/2\)
- Existence of strong solutions for Itô's stochastic equations via approximations
- Fractional Brownian Motions, Fractional Noises and Applications
- Integral transformations and anticipative calculus for fractional Brownian motions
- Integration with respect to fractal functions and stochastic calculus. I
- Integration with respect to fractal functions and stochastic calculus. II
- Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions
- Parabolic stochastic partial differential equations with non-Lipschitz coefficients with reflection
- Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
- Stochastic analysis of the fractional Brownian motion
- Stochastic calculus with respect to Gaussian processes
- Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
- Stochastic integration with respect to fractional Brownian motion
- Stochastic integration with respect to the fractional Brownian motion
- The existence and uniqueness of the solution of an integral equation driven by a \(p\)-semimartin\-gale of special type.
Cited in
(29)- Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion
- Moderate deviation principle for multiscale systems driven by fractional Brownian motion
- Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application
- Existence and uniqueness of strong solutions of mixed-type stochastic differential equations driven by fractional Brownian motions with Hurst exponents \(H>1/4 \)
- Malliavin regularity of solutions to mixed stochastic differential equations
- Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions
- Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects
- Existence and uniqueness for solutions of mixed stochastic delay differential equations
- Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects
- Averaging dynamics driven by fractional Brownian motion
- Stochastic homeomorphism flow of SDEs involving fractional Brownian motion and standard Brownian motion
- Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations
- Reflected stochastic differential equations driven by standard and fractional Brownian motion
- On moment estimates for solutions of mixed SDEs under non-Lipschitz condition
- CEV model equipped with the long-memory
- Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions
- Finiteness of moments of solutions to mixed-type stochastic differential equations driven by standard and fractional Brownian motions
- Parameter estimation in mixed fractional stochastic heat equation
- Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
- scientific article; zbMATH DE number 7781218 (Why is no real title available?)
- scientific article; zbMATH DE number 1642348 (Why is no real title available?)
- Regularization of differential equations by two fractional noises
- Stochastic Volterra equation driven by Wiener process and fractional Brownian motion
- Existence and uniqueness of the solution of stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index \(H > 1/2\)
- Mixed fractional stochastic differential equations with jumps
- Existence of density for solutions of mixed stochastic equations
- Mixed stochastic differential equations: averaging principle result
- scientific article; zbMATH DE number 7049505 (Why is no real title available?)
- The relation between mixed and rough SDEs and its application to numerical methods
This page was built for publication: Mixed stochastic differential equations: existence and uniqueness result
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1661595)
