Existence and uniqueness of strong solutions of mixed-type stochastic differential equations driven by fractional Brownian motions with Hurst exponents H>1/4

DOI10.1134/S0012266124060016MaRDI QIDQ6609727zbMATH OpenFDO

Authors M. M. Vas'kovskii, P. P. Stryuk

Publication date 24 September 2024

Published in Differential Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/S0012266124060016

zbMATH Keywords

Cauchy problemfractional Brownian motionrough pathstochastic differential equationstrong solution

Mathematics Subject Classification ID

Initial value problems, existence, uniqueness, continuous dependence and continuation of solutions to ordinary differential equations (34A12) Ordinary differential equations and systems with randomness (34F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

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Cites work

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• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion

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