Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process
The existence and uniqueness of solution of stochastic differential equation driven by standard Brownian motion and fractional Brownian motion with Hurst parameter H belongs (3/4, 1) is established.
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| Date: | 2007 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2007
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| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/4486 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process / Y. Mishura, S. Posashkov // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 152-165. — Бібліогр.: 8 назв.— англ. |