Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motions and with discontinuous coefficients

DOI10.1134/S0012266114020062zbMath1291.60120MaRDI QIDQ2251852

A. A. Levakov, M. M. Vas'kovskii

Publication date: 15 July 2014

Published in: Differential Equations (Search for Journal in Brave)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items

Stability and attraction of solutions of nonlinear stochastic differential equations with standard and fractional Brownian motions ⋮ Finiteness of moments of solutions to mixed-type stochastic differential equations driven by standard and fractional Brownian motions ⋮ Existence of solutions of stochastic differential inclusions with standard and fractional Brownian motions ⋮ Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motion, discontinuous coefficients, and a partly degenerate diffusion operator ⋮ Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3 ⋮ Stability of linear stochastic differential equations of mixed type with fractional Brownian motions ⋮ Properties of solutions of stochastic differential equations with standard and fractional Brownian motions ⋮ Existence and uniqueness of solutions of differential equations weakly controlled by rough paths with an arbitrary positive Hölder exponent

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• Differential equations driven by fractional Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• On Convergence of Stochastic Processes

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