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Existence and uniqueness of solution
of mixed stochastic differential
equation driven by fractional
Brownian motion and Wiener process
Yulia Mishura, Sergiy Posashkov Department of Probability Theory and Mathematical Statistics,
Kyiv National Taras Shevchenko University, Kyiv, Ukraine
Аннотация:
The existence and uniqueness of solution of stochastic differential
equation driven by standard Brownian motion and fractional Brownian motion with Hurst parameter $H\in(3/4, 1)$ is established.
Ключевые слова:
Stochastic differential equation, fractional Brownian motion.
Образец цитирования:
Yulia Mishura, Sergiy Posashkov, “Existence and uniqueness of solution
of mixed stochastic differential
equation driven by fractional
Brownian motion and Wiener process”, Theory Stoch. Process., 13(29):2 (2007), 152–165
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp194 https://www.mathnet.ru/rus/thsp/v13/i2/p152
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Страница аннотации: | 96 | PDF полного текста: | 58 | Список литературы: | 16 |
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