Mixed Stochastic Differential Equations: Existence and Uniqueness Result

José Luís Silva (), Mohamed Erraoui () and El Hassan Essaky ()
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José Luís Silva: University of Madeira
Mohamed Erraoui: Université Cadi Ayyad
El Hassan Essaky: Université Cadi Ayyad

Journal of Theoretical Probability, 2018, vol. 31, issue 2, 1119-1141

Abstract: Abstract In this paper we establish an existence and uniqueness result for solutions of multidimensional, time-dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter $$H>1/2$$ H > 1 / 2 and a multidimensional standard Brownian motion under a weaker condition than the Lipschitz one.

Keywords: Fractional Brownian motion; Stochastic differential equations; Weak and strong solution; Bihari-type lemma; Primary 60H05; 60H10; Secondary 60G22; 60G15 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10959-016-0738-9

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