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

Mathematics – Probability

Scientific paper

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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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