Journal article
Existence And Uniqueness Of The Solution Of Stochastic Differential Equation Involving Wiener Process And Fractional Brownian Motion With Hurst Index H > 1/2
Year:
2011Published in:
Communications in Statistics - Theory and MethodsEuler approximation
Fractional Brownian motion
Mixed stochastic differential equation
Pathwise integral
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.