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:

2011

Published in:

Communications in Statistics - Theory and Methods

Authors:

Euler 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.

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Existence And Uniqueness Of Mild Solution To Stochastic Heat Equation With White And Fractional Noises

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