Journal article
Mixed Stochastic Delay Differential Equations
Year:
2014Published in:
Theory of Probability and Mathematical StatisticsFractional Brownian motion
Wiener process
stochastic delay differential equation
mixed stochastic differential equation
We consider a stochastic delay differential equation driven by a Hölder continuous process $Z$ and a Wiener process. Under fairly general assumptions on coefficients of the equation, we prove that it has a unique solution. We also give a sufficient condition for finiteness of moments of the solution and prove that the solution depends on $Z$ continuously.