Uniqueness and Explosion Time of Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motion

被引：0

作者：

Jie XU ^{[1
]}

Yun Min ZHU ^{[1
]}

Ji Cheng LIU ^{[2
]}

机构：

[1] College of Mathematics,Sichuan University

[2] School of Mathematics and Statistics,Huazhong University of Science and Technology

来源：

Acta Mathematica Sinica,English Series | 2012年 / 12期

基金：

中国国家自然科学基金;

关键词：

Existence; uniqueness; fractional Brownian motion; non-Lipschitz coefficients; explosion time;

D O I：

暂无

中图分类号：

O211.63 [随机微分方程];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper,we first study the existence and uniqueness of solutions to the stochastic differential equations driven by fractional Brownian motion with non-Lipschitz coefficients.Then we investigate the explosion time in stochastic differential equations driven by fractional Browmian motion with respect to Hurst parameter more than half with small diffusion.

引用

页码：2407 / 2416

页数：10

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