Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
468402 | Computers & Mathematics with Applications | 2012 | 11 Pages |
Abstract
For a mixed stochastic differential equation involving standard Brownian motion and an almost surely Hölder continuous process ZZ with Hölder exponent γ>1/2γ>1/2, we establish a new result on its unique solvability. We also establish an estimate for difference of solutions to such equations with different processes ZZ and deduce a corresponding limit theorem. As a by-product, we obtain a result on existence of moments of a solution to a mixed equation under an assumption that ZZ has certain exponential moments.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Yuliya Mishura, Georgiy Shevchenko,