Mixed fractional stochastic differential equations with jumps

DOI10.1080/17442508.2013.774404zbMath1307.60087arXiv1206.3637OpenAlexW1999543235MaRDI QIDQ2875263

Georgiy M. Shevchenko

Publication date: 14 August 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.3637

zbMATH Keywords

stochastic differential equationWiener processfractional Brownian motionPoisson measurefinite moments

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

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Cites Work

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• Monotonicity of certain functionals under rearrangement
• Existence and Uniqueness of the Solution of Stochastic Differential Equation Involving Wiener Process and Fractional Brownian Motion with Hurst IndexH > 1/2
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• Stochastic calculus with respect to continuous finite quadratic variation processes
• Stochastic differential equations with fractal noise
• Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion

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