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

DOI10.1016/j.camwa.2012.03.061zbMath1268.60088arXiv1112.2332OpenAlexW1976016124MaRDI QIDQ356320

Yuliya S. Mishura, Georgiy M. Shevchenko

Publication date: 25 July 2013

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

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

zbMATH Keywords

fractional Brownian motionlong-range dependencemixed 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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Cites Work

• Integration with respect to fractal functions and stochastic calculus. I
• Differential equations driven by fractional Brownian motion
• The existence and uniqueness of the solution of an integral equation driven by a \(p\)-semimartin\-gale of special type.
• Monotonicity of certain functionals under rearrangement
• Stochastic calculus for fractional Brownian motion and related processes.
• Existence and Uniqueness of the Solution of Stochastic Differential Equation Involving Wiener Process and Fractional Brownian Motion with Hurst IndexH > 1/2
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion

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