Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions

DOI10.1016/J.CAMWA.2012.03.061zbMATH Open1268.60088arXiv1112.2332OpenAlexW1976016124MaRDI QIDQ356320FDOQ356320

Authors: Yuliya S. Mishura, G. M. Shevchenko 

Publication date: 25 July 2013

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Abstract: For a mixed stochastic differential equation involving standard Brownian motion and an almost surely H"older continuous process $Z$ with H"older exponent $gamma>1/2$, we establish a new result on its unique solvability. We also establish an estimate for difference of solutions to such equations with different processes $Z$ and deduce a corresponding limit theorem. As a by-product, we obtain a result on existence of moments of a solution to a mixed equation under an assumption that $Z$ has certain exponential moments.

Full work available at URL: https://arxiv.org/abs/1112.2332

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zbMATH Keywords

long-range dependencefractional Brownian motionmixed stochastic differential equationpathwise integralstochastic differential equation with random drift

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) PDEs with randomness, stochastic partial differential equations (35R60)

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Cited In (32)

• Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion
• Stochastic averaging for the non-autonomous mixed stochastic differential equations with locally Lipschitz coefficients
• Mixed fractional stochastic differential equations with jumps
• Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions
• Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion
• The rate of convergence of the Hurst index estimate for a stochastic differential equation
• Reflected stochastic differential equations driven by standard and fractional Brownian motion
• Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises
• The relation between mixed and rough SDEs and its application to numerical methods
• Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
• Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects
• Stochastic Volterra equation driven by Wiener process and fractional Brownian motion
• Convergence of solutions of mixed stochastic delay differential equations with applications
• On mixed fractional stochastic differential equations with discontinuous drift coefficient
• Integrability of solutions to mixed stochastic differential equations
• Forward integrals and SDE with fractal noise
• Asymptotic behavior of mixed power variations and statistical estimation in mixed models
• Stochastic viability and comparison theorems for mixed stochastic differential equations
• SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation
• Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects
• Parameter estimation in mixed fractional stochastic heat equation
• Exponential stability for neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion
• Mixed stochastic delay differential equations
• Malliavin regularity of solutions to mixed stochastic differential equations
• Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations
• The existence, uniqueness, and controllability of neutral stochastic delay partial differential equations driven by standard Brownian motion and fractional Brownian motion
• Mixed stochastic differential equations: existence and uniqueness result
• Global variational solutions to a class of fractional SPDE's on unbounded domains
• SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation
• Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application
• Title not available (Why is that?)
• Regularization of differential equations by two fractional noises

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