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

DOI10.1016/J.CAMWA.2012.03.061MaRDI QIDQ356320zbMATH OpenOpenAlexFDO

Authors Yuliya S. Mishura, G. 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

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)

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.

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Cites work

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Cited in

(32)

• SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation
• Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
• Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application
• Asymptotic behavior of mixed power variations and statistical estimation in mixed models
• Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion
• Integrability of solutions to mixed stochastic differential equations
• Malliavin regularity of solutions to mixed stochastic differential equations
• The rate of convergence of the Hurst index estimate for a stochastic differential equation
• Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions
• Maximum likelihood estimation for stochastic differential equations driven by a mixed fractional Brownian motion with random effects
• Global variational solutions to a class of fractional SPDE's on unbounded domains
• The existence, uniqueness, and controllability of neutral stochastic delay partial differential equations driven by standard Brownian motion and fractional Brownian motion
• SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation
• Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects
• Parametric inference for stochastic differential equations driven by a mixed fractional Brownian motion with random effects based on discrete observations
• Reflected stochastic differential equations driven by standard and fractional Brownian motion
• Parametric estimation for linear stochastic differential equations driven by mixed fractional Brownian motion
• On mixed fractional stochastic differential equations with discontinuous drift coefficient
• Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises
• Stochastic averaging for the non-autonomous mixed stochastic differential equations with locally Lipschitz coefficients
• 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
• Stochastic viability and comparison theorems for mixed stochastic differential equations
• scientific article; zbMATH DE number 7781218 (Why is no real title available?)
• Mixed stochastic delay differential equations
• Regularization of differential equations by two fractional noises
• Stochastic Volterra equation driven by Wiener process and fractional Brownian motion
• Mixed stochastic differential equations: existence and uniqueness result
• Mixed fractional stochastic differential equations with jumps
• Convergence of solutions of mixed stochastic delay differential equations with applications
• The relation between mixed and rough SDEs and its application to numerical methods
• Forward integrals and SDE with fractal noise

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