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
收藏
页码：203 / 217
页数：15
相关论文
共 50 条
  • [41] Transportation inequalities for stochastic differential equations of pure jumps
    Wu, Liming
    ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 2010, 46 (02): : 465 - 479
  • [42] Comparison Theorem for Stochastic Differential Delay Equations with Jumps
    Jianhai Bao
    Chenggui Yuan
    Acta Applicandae Mathematicae, 2011, 116
  • [43] WASSERSTEIN DISTANCE ON SOLUTIONS TO STOCHASTIC DIFFERENTIAL EQUATIONS WITH JUMPS
    Takeuchi, Atsushi
    OSAKA JOURNAL OF MATHEMATICS, 2024, 61 (03) : 391 - 407
  • [44] STABILITY THEOREM FOR STOCHASTIC DIFFERENTIAL-EQUATIONS WITH JUMPS
    KASAHARA, Y
    YAMADA, K
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1991, 38 (01) : 13 - 32
  • [45] Numerical methods for nonlinear stochastic differential equations with jumps
    Desmond J. Higham
    Peter.E. Kloeden
    Numerische Mathematik, 2005, 101 : 101 - 119
  • [46] On neutral impulsive stochastic differential equations with Poisson jumps
    Annamalai, Anguraj
    Kandasamy, Banupriya
    Baleanu, Dumitru
    Arumugam, Vinodkumar
    ADVANCES IN DIFFERENCE EQUATIONS, 2018,
  • [47] LP solutions of backward stochastic differential equations with jumps
    Yao, Song
    STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2017, 127 (11) : 3465 - 3511
  • [48] On neutral impulsive stochastic differential equations with Poisson jumps
    Anguraj Annamalai
    Banupriya Kandasamy
    Dumitru Baleanu
    Vinodkumar Arumugam
    Advances in Difference Equations, 2018
  • [49] Lyapunov exponents of nonlinear stochastic differential equations with jumps
    Li, CW
    STOCHASTIC INEQUALITIES AND APPLICATIONS, 2003, 56 : 339 - 351
  • [50] On the averaging principle for stochastic delay differential equations with jumps
    Wei Mao
    Surong You
    Xiaoqian Wu
    Xuerong Mao
    Advances in Difference Equations, 2015
12345