Mathematics – Probability
Scientific paper
2011-03-03
Comm. Statist. Theory Methods 40 (2011), 3492-3508
Mathematics
Probability
Scientific paper
10.1080/03610926.2011.581174
We consider a mixed stochastic differential equation driven by possibly
dependent fractional Brownian motion and Brownian motion. Under mild regularity
assumptions on the coefficients, it is proved that the equation has a unique
solution.
Mishura Yuliya
Shevchenko Georgiy
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