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arXiv:1103.0615 [math.PR]AbstractReferencesReviewsResources

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

Yuliya Mishura, Georgiy Shevchenko

Published 2011-03-03Version 1

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.

Journal: Comm. Statist. Theory Methods 40 (2011), 3492-3508
Categories: math.PR
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