具有跳跃的混合分数阶随机微分方程

IF 0.9 4区数学 Q3 MATHEMATICS, APPLIED

Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2012-06-16 DOI:10.1080/17442508.2013.774404

G. Shevchenko

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引用次数: 30

摘要

本文考虑了一个由分数布朗运动和Wiener过程驱动的随机微分方程，该方程具有跳变。我们证明了这个方程有一个唯一解，并证明了解的所有矩都是有限的。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Mixed fractional stochastic differential equations with jumps

In this paper, we consider a stochastic differential equation driven by a fractional Brownian motion and a Wiener process and having jumps. We prove that this equation has a unique solution and show that all moments of the solution are finite.

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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.