Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process
The existence and uniqueness of solution of stochastic differential equation driven by standard Brownian motion and fractional Brownian motion with Hurst parameter H belongs (3/4, 1) is established.
Збережено в:
| Дата: | 2007 |
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| Автори: | , |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2007
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4486 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process / Y. Mishura, S. Posashkov // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 152-165. — Бібліогр.: 8 назв.— англ. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
irk-123456789-4486 |
|---|---|
| record_format |
dspace |
| spelling |
irk-123456789-44862009-11-20T12:00:37Z Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process Mishura, Y. Posashkov, S. The existence and uniqueness of solution of stochastic differential equation driven by standard Brownian motion and fractional Brownian motion with Hurst parameter H belongs (3/4, 1) is established. 2007 Article Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process / Y. Mishura, S. Posashkov // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 152-165. — Бібліогр.: 8 назв.— англ. 0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4486 en Інститут математики НАН України |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| language |
English |
| description |
The existence and uniqueness of solution of stochastic differential equation driven by standard Brownian motion and fractional Brownian motion with Hurst parameter H belongs (3/4, 1) is established. |
| format |
Article |
| author |
Mishura, Y. Posashkov, S. |
| spellingShingle |
Mishura, Y. Posashkov, S. Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process |
| author_facet |
Mishura, Y. Posashkov, S. |
| author_sort |
Mishura, Y. |
| title |
Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process |
| title_short |
Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process |
| title_full |
Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process |
| title_fullStr |
Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process |
| title_full_unstemmed |
Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process |
| title_sort |
existence and uniqueness of solution of mixed stochastic differential equation driven by fractional brownian motion and wiener process |
| publisher |
Інститут математики НАН України |
| publishDate |
2007 |
| url |
http://dspace.nbuv.gov.ua/handle/123456789/4486 |
| citation_txt |
Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process / Y. Mishura, S. Posashkov // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 1-2. — С. 152-165. — Бібліогр.: 8 назв.— англ. |
| work_keys_str_mv |
AT mishuray existenceanduniquenessofsolutionofmixedstochasticdifferentialequationdrivenbyfractionalbrownianmotionandwienerprocess AT posashkovs existenceanduniquenessofsolutionofmixedstochasticdifferentialequationdrivenbyfractionalbrownianmotionandwienerprocess |
| first_indexed |
2023-03-24T08:30:22Z |
| last_indexed |
2023-03-24T08:30:22Z |
| _version_ |
1796139185657085952 |