On mixed fractional stochastic differential equations with discontinuous drift coefficient

DOI10.1017/jpr.2022.71zbMath1516.60034arXiv2010.14176MaRDI QIDQ6102055

Ercan Sönmez

Publication date: 8 May 2023

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.14176

zbMATH Keywords

long-range dependenceItô formulaabsolute continuitydiscontinuous driftmixed stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic analysis (60H99)

Related Items (1)

Stochastic averaging for a completely integrable Hamiltonian system with fractional Brownian motion

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