Existence and Uniqueness of Strong Solutions of Mixed-Type Stochastic Differential Equations Driven by Fractional Brownian Motions with Hurst Exponents H > 1/4

被引：0

作者：

Vas'kovskii, M. M. ^{[1
]}

Stryuk, P. P. ^{[1
]}

机构：

[1] Belarusian State Univ, Minsk 220030, BELARUS

来源：

DIFFERENTIAL EQUATIONS | 2024年 / 60卷 / 06期

关键词：

fractional Brownian motion; rough path; stochastic differential equation; Cauchy problem; strong solution; STANDARD;

D O I：

10.1134/S0012266124060016

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We study the unique solvability of the Cauchy problem for a mixed-type stochastic differential equation driven by the standard Brownian motion and fractional Brownian motions with Hurst exponents H>1/4 . We prove a theorem on the existence and uniqueness of strong solutions of these stochastic differential equations.

引用

页码：691 / 702

页数：12

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Existence and Uniqueness of Strong Solutions of Mixed-Type Stochastic Differential Equations Driven by Fractional Brownian Motions with Hurst Exponents H &gt; 1/4

Existence and Uniqueness of Strong Solutions of Mixed-Type Stochastic Differential Equations Driven by Fractional Brownian Motions with Hurst Exponents H > 1/4