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

Abstract: 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.

Keywords: Stochastic differential equation, fractional Brownian motion.

MSC: 60G15, 60H05, 60H10

Language: English

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