Mixed fractional stochastic differential equations with jumps

DOI10.1080/17442508.2013.774404zbMATH Open1307.60087arXiv1206.3637OpenAlexW1999543235MaRDI QIDQ2875263FDOQ2875263

Authors: G. M. Shevchenko 

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

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.

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

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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)

Cites Work

• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
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• Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions
• Monotonicity of certain functionals under rearrangement
• Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion
• Stochastic calculus with respect to continuous finite quadratic variation processes
• Stochastic differential equations with fractal noise

Cited In (22)

• Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions
• Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion
• Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: averaging principle
• On the existence of solutions for stochastic differential equations driven by fractional Brownian motion
• Stochastic Averaging Principle for Mixed Stochastic Differential Equations
• On mixed fractional stochastic differential equations with discontinuous drift coefficient
• Integrability of solutions to mixed stochastic differential equations
• Existence and uniqueness of mild solution to fractional stochastic heat equation
• Trajectory controllability of Hilfer fractional neutral stochastic differential equation with deviated argument and mixed fractional Brownian motion
• Stability of a class of impulsive neutral stochastic functional partial differential equations
• Title not available (Why is that?)
• Exponential stability for neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion
• Mixed stochastic delay differential equations
• Stochastic time-optimal control for time-fractional Ginzburg–Landau equation with mixed fractional Brownian motion
• Averaging method for neutral stochastic delay differential equations driven by fractional Brownian motion
• Averaging principles for mixed fast-slow systems driven by fractional Brownian motion
• Mixed stochastic differential equations: averaging principle result
• Approximate controllability of fractional stochastic differential equations driven by mixed fractional Brownian motion via resolvent operators
• The existence, uniqueness, and controllability of neutral stochastic delay partial differential equations driven by standard Brownian motion and fractional Brownian motion
• Optimal control of non-instantaneous impulsive second-order stochastic McKean-Vlasov evolution system with Clarke subdifferential
• Non‐instantaneous impulsive stochastic FitzHugh–Nagumo equation with fractional Brownian motion
• Controllability of semilinear neutral stochastic integrodifferential evolution systems with fractional Brownian motion

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