A variation of constant formula for Caputo fractional stochastic differential equations with jump–diffusion

Shuli Xu, Yuqiang Feng, Jun Jiang and Na Nie

Statistics & Probability Letters, 2022, vol. 185, issue C

Abstract: In this paper, the existence and uniqueness of solutions for the Caputo fractional stochastic differential equations with jump–diffusion is discussed. Then, a variation of constant formula for the equation is established. The main ingredient of the proof is to use Itoˆ’s isometry of Poisson jumps and martingale representation theorem.

Keywords: Fractional stochastic differential equations; Jump–diffusion; Mild solution; Variation of constant formula (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spl.2022.109406

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