Existence and Uniqueness of the Solution of Stochastic Differential Equation Involving Wiener Process and Fractional Brownian Motion with Hurst Index H > 1/2

By Yuliya S. Mishura, Georgiy Shevchenko. 2011

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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.

Subfields: Economics and Econometrics, Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/33222e8bef657fde2a0cb0ddb07a4e0c506684c4