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arXiv · 1103.0615

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

Yuliya Mishura·Georgiy Shevchenko
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Abstract

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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Yuliya Mishura, Georgiy Shevchenko. 2011-03-03. Stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index $H> 1/2$. https://doi.org/10.1080/03610926.2011.581174

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