Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application

DOI10.1080/00036811.2022.2063848OpenAlexW4224102747WikidataQ115315939 ScholiaQ115315939MaRDI QIDQ6079799

Litan Yan, Zhi Li, Li-Ping Xu, Unnamed Author

Publication date: 29 September 2023

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036811.2022.2063848

zbMATH Keywords

fractional Brownian motioncomparison theoremviabilitynon-Lipschitz conditionmixed SDEs

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Convergence of solutions of mixed stochastic delay differential equations with applications
• Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions
• Stochastic viability for regular closed sets in Hilbert spaces
• Viability for differential equations driven by fractional Brownian motion
• Stochastic viability of convex sets
• Integration with respect to fractal functions and stochastic calculus. I
• Viability property for a backward stochastic differential equation and applications to partial differential equations
• Differential equations driven by fractional Brownian motion
• Mixed stochastic differential equations: existence and uniqueness result
• The existence and uniqueness of the solution of an integral equation driven by a \(p\)-semimartin\-gale of special type.
• Viability for stochastic functional differential equations in Hilbert spaces driven by fractional Brownian motion
• Viability for coupled SDEs driven by fractional Brownian motion
• Viability of an open set for stochastic control systems
• Stochastic viability and comparison theorems for mixed stochastic differential equations
• Invariance for stochastic differential systems with time-dependent constraining sets
• Invariance for rough differential equations
• Stochastic invariance of closed sets for jump-diffusions with non-Lipschitz coefficients
• Stochastic differential equations, backward SDEs, partial differential equations
• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• Characterization of Stochastic Viability of Any Nonsmooth Set Involving Its Generalized Contingent Curvature
• Deterministic characterization of viability for stochastic differential equation driven by fractional Brownian motion
• Modified Euler approximation of stochastic differential equation driven by Brownian motion and fractional Brownian motion
• Viability property for multi-dimensional stochastic differential equation and its applications to comparison theorem

This page was built for publication: Viability for mixed stochastic differential equations driven by fractional Brownian motion and its application