Work

Existence and Uniqueness of Strong Solutions to Mixed-type Stochastic Differential Equations Driven by the Fractional Brownian Motions With Hurst Indices 𝐻 > 1/4

Year: 2024

Type: article

Abstract: In this paper there is investigated the problem of unique solvability of the Caushy problem for the mixed type stochastic differential equation driven by the standard Brownian motion and fractional Brownian motions with Hurst indices 𝐻 > 1/4. We prove a theorem on the existence and uniqueness of strong solutions to the mentioned mixed type stochastic differential equations.

Source: Дифференциальные уравнения

DOI: 10.31857/s0374064124060017

Authors: M. M Vaskouski, P. P Stryuk

Institution: Belarusian State University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W4404336984

FWCI:

Cites: 17

Cited by:

Related to: 10