Mixed stochastic delay differential equations
Probability
2013-10-09 v4
Abstract
We consider a stochastic delay differential equation driven by a Holder continuous process and a Wiener process. Under fairly general assumptions on its coefficients, we prove that this equation is uniquely solvable. We also give sufficient conditions for finiteness of its moments and establish a limit theorem.
Cite
@article{arxiv.1306.0590,
title = {Mixed stochastic delay differential equations},
author = {Georgiy Shevchenko},
journal= {arXiv preprint arXiv:1306.0590},
year = {2013}
}