Existence and Uniqueness of Strong Solutions of Mixed-Type Stochastic Differential Equations Driven by Fractional Brownian Motions with Hurst Exponents \(H>1/4 \)

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2024年6月1日

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M. M. Vas’kovskii,
P. P. Stryuk

摘要

Abstract

We study the unique solvability of the Cauchy problem for a mixed-type stochasticdifferential equation driven by the standard Brownian motion and fractional Brownian motionswith Hurst exponents \(H>1/4\) . We prove atheorem on the existence and uniqueness of strong solutions of these stochastic differentialequations.