Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion
نویسندگان
چکیده
منابع مشابه
Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion
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Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
We prove an existence and uniqueness theorem for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter H > 1/2 and a multidimensional standard Brownian motion. The proof relies on some a priori estimates, which are obtained using the methods of fractional integration, and the c...
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We study existence, uniqueness and regularity of some sto-chastic diierential equations driven by a fractional Brownian motion of any Hurst index H 2 (0; 1): 1. Introduction Fractional Brownian motion and other longgrange dependent processes are more and more studied because of their potential applications in several elds like telecommunications networks, nance markets, biology and so on The ma...
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ژورنال
عنوان ژورنال: Applied Mathematics Letters
سال: 2020
ISSN: 0893-9659
DOI: 10.1016/j.aml.2019.106006