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: | Англійська |
| Опубліковано: |
Інститут математики НАН України
2007
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| Онлайн доступ: | https://nasplib.isofts.kiev.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| _version_ | 1862597948767993856 |
|---|---|
| author | Mishura, Y. Posashkov, S. |
| author_facet | Mishura, Y. Posashkov, S. |
| 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. |
| collection | DSpace DC |
| 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.
|
| first_indexed | 2025-11-27T19:28:04Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4486 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-11-27T19:28:04Z |
| publishDate | 2007 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Mishura, Y. Posashkov, S. 2009-11-19T10:19:03Z 2009-11-19T10:19:03Z 2007 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 https://nasplib.isofts.kiev.ua/handle/123456789/4486 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. en Інститут математики НАН України Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process Article published earlier |
| spellingShingle | Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process Mishura, Y. Posashkov, S. |
| title | 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_short | 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 |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4486 |
| work_keys_str_mv | AT mishuray existenceanduniquenessofsolutionofmixedstochasticdifferentialequationdrivenbyfractionalbrownianmotionandwienerprocess AT posashkovs existenceanduniquenessofsolutionofmixedstochasticdifferentialequationdrivenbyfractionalbrownianmotionandwienerprocess |