Stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index $H> 1/2$

Published 3 Mar 2011 in math.PR | (1103.0615v1)

Abstract: We consider a mixed stochastic differential equation driven by possibly dependent fractional Brownian motion and Brownian motion. Under mild regularity assumptions on the coefficients, it is proved that the equation has a unique solution.

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