Mixed stochastic delay differential equations

Georgiy Shevchenko

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arXiv · 1306.0590

Mixed stochastic delay differential equations

Georgiy Shevchenko

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Abstract

We consider a stochastic delay differential equation driven by a Holder continuous process and a Wiener process. Under fairly general assumptions on its coefficients, we prove that this equation is uniquely solvable. We also give sufficient conditions for finiteness of its moments and establish a limit theorem.

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Georgiy Shevchenko. 2013-06-03. Mixed stochastic delay differential equations. https://arxiv.org/abs/1306.0590

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