Mixed fractional stochastic differential equations with jumps

被引：31

作者：

Shevchenko, Georgiy ^{[1
]}

机构：

[1] Taras Shevchenko Natl Univ Kyiv, Dept Probabil Theory Stat & Actuarial Math, UA-01601 Kiev, Ukraine

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2014年 / 86卷 / 02期

关键词：

stochastic differential equation; fractional Brownian motion; moments; Wiener process; Poisson measure; HOLDER CONTINUOUS-FUNCTIONS; BROWNIAN-MOTION; DRIVEN; UNIQUENESS; EXISTENCE;

D O I：

10.1080/17442508.2013.774404

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we consider a stochastic differential equation driven by a fractional Brownian motion and a Wiener process and having jumps. We prove that this equation has a unique solution and show that all moments of the solution are finite.

引用

页码：203 / 217

页数：15

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