Mixed stochastic differential equations: existence and uniqueness result

DOI10.1007/S10959-016-0738-9zbMATH Open1431.60043arXiv1511.00191OpenAlexW2963072514WikidataQ57821958 ScholiaQ57821958MaRDI QIDQ1661595FDOQ1661595

Authors: José L. Silva, M. Erraoui, E. H. Essaky 

Publication date: 16 August 2018

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1511.00191

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zbMATH Keywords

fractional Brownian motionstochastic differential equationsBihari-type lemmaweak and strong solution

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

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Cited In (19)

• Moderate deviation principle for multiscale systems driven by fractional Brownian motion
• Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions
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• CEV model equipped with the long-memory
• Reflected stochastic differential equations driven by standard and fractional Brownian motion
• Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects
• Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion
• Title not available (Why is that?)
• 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
• Parameter estimation in mixed fractional stochastic heat equation
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• Averaging dynamics driven by fractional Brownian motion
• Malliavin regularity of solutions to mixed stochastic differential equations
• Mixed stochastic differential equations: averaging principle result
• Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations
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• Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application
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