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arXiv · 1511.00191

Mixed stochastic differential equations: Existence and uniqueness result

José Luís da Silva·Mohamed Erraoui·El Hassan Essaky
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Abstract

In this paper we shall establish an existence and uniqueness result for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter $H > \frac{1}{2} and a multidimensional standard Brownian motion under a weaker condition than the Lipschitz one.

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José Luís da Silva, Mohamed Erraoui, El Hassan Essaky. 2015-11-01. Mixed stochastic differential equations: Existence and uniqueness result. https://arxiv.org/abs/1511.00191

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