Mixed fractional stochastic differential equations with jumps

被引：32
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
收藏
页码：203 / 217
页数：15
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