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ENG
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ЖУРНАЛЫ
// Theory of Stochastic Processes
// Архив
Theory Stoch. Process.,
2007
, том 13(29),
выпуск 2,
страницы
152–165
(Mi thsp194)
Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and Wiener process
Yulia Mishura
,
Sergiy Posashkov
Department of Probability Theory and Mathematical Statistics, Kyiv National Taras Shevchenko University, Kyiv, Ukraine
Аннотация:
The existence and uniqueness of solution of stochastic differential equation driven by standard Brownian motion and fractional Brownian motion with Hurst parameter
$H\in(3/4, 1)$
is established.
Ключевые слова:
Stochastic differential equation, fractional Brownian motion.
MSC:
60G15
,
60H05
,
60H10
Язык публикации:
английский
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