Mixed fractional stochastic differential equations with jumps
Probability
2013-04-02 v3
Abstract
In this paper, we consider a stochastic differential equation driven by a fractional Brownian motion (fBm) and a Wiener process and having jumps. We prove that this equation has a unique solution and show that all its moments are finite.
Cite
@article{arxiv.1206.3637,
title = {Mixed fractional stochastic differential equations with jumps},
author = {Georgiy Shevchenko},
journal= {arXiv preprint arXiv:1206.3637},
year = {2013}
}