Mixed stochastic delay differential equations

DOI10.1090/S0094-9000-2015-00944-3zbMATH Open1322.60097arXiv1306.0590MaRDI QIDQ2944762FDOQ2944762

G. M. Shevchenko

Publication date: 8 September 2015

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Abstract: We consider a stochastic delay differential equation driven by a Holder continuous process and a Wiener process. Under fairly general assumptions on its coefficients, we prove that this equation is uniquely solvable. We also give sufficient conditions for finiteness of its moments and establish a limit theorem.

Full work available at URL: https://arxiv.org/abs/1306.0590

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zbMATH Keywords

Wiener processfractional Brownian motionstochastic delay differential equationmixed stochastic differential equation[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDlder+continuous+process&go=Go H��lder continuous process]

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50)

Cites Work

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Cited In (14)

• Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion
• Forward integrals and SDE with fractal noise
• Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: averaging principle
• Fractional processes and their statistical inference: an overview
• Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises
• Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects
• A note on exponential stability of non-autonomous linear stochastic differential delay equations driven by a fractional Brownian motion with Hurst index \(> \frac{1}{2}\)
• 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
• Young Differential Delay Equations Driven by Hölder Continuous Paths
• Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations
• Title not available (Why is that?)
• A novel collocation approach to solve a nonlinear stochastic differential equation of fractional order involving a constant delay

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