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arXiv · 1206.3637

Mixed fractional stochastic differential equations with jumps

Georgiy Shevchenko
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Abstract

In this paper, we consider a stochastic differential equation driven by a fractional Brownian motion (fBm) and a Wiener process and having jumps. We prove that this equation has a unique solution and show that all its moments are finite.

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Georgiy Shevchenko. 2013-02-13. Mixed fractional stochastic differential equations with jumps. https://doi.org/10.1080/17442508.2013.774404

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