Stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index $H> 1/2$

Details Stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index $H> 1/2$ Stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index $H> 1/2$

2011-03-03

arxiv.org/abs/1103.0615v1

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.

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