Mixed fractional stochastic differential equations with jumps

DOI10.1080/17442508.2013.774404zbMATH Open1307.60087OpenAlexW1999543235MaRDI QIDQ2875263FDOQ2875263

Authors G. M. Shevchenko 

Publication date 14 August 2014

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.3637

zbMATH Keywords

Wiener processstochastic differential equationfinite momentsfractional Brownian motionPoisson measure

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this paper, we consider a stochastic differential equation driven by a fractional Brownian motion (fBm) and a Wiener process and having jumps. We prove that this equation has a unique solution and show that all its moments are finite.

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Cites work

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Cited in

(25)

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• Trajectory controllability of Hilfer fractional neutral stochastic differential equation with deviated argument and mixed fractional Brownian motion
• On the existence of solutions for stochastic differential equations driven by fractional Brownian motion
• The existence, uniqueness, and controllability of neutral stochastic delay partial differential equations driven by standard Brownian motion and fractional Brownian motion
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• Controllability of semilinear neutral stochastic integrodifferential evolution systems with fractional Brownian motion
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• Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: averaging principle
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• Approximate controllability of fractional stochastic differential equations driven by mixed fractional Brownian motion via resolvent operators
• Exponential stability for neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion
• Stability of a class of impulsive neutral stochastic functional partial differential equations
• Mixed stochastic delay differential equations
• A variation of constant formula for Caputo fractional stochastic differential equations with jump-diffusion
• Large deviation principle for a mixed fractional and jump diffusion process
• Mixed stochastic differential equations: averaging principle result
• Averaging method for neutral stochastic delay differential equations driven by fractional Brownian motion
• Optimal control of non-instantaneous impulsive second-order stochastic McKean-Vlasov evolution system with Clarke subdifferential
• Averaging principles for mixed fast-slow systems driven by fractional Brownian motion

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