Home > Papers

 
 
Existence and Uniqueness of the Solution for a Class of Fractional Stochastic Differential Equations
MingTang 1 #,Shiqing Zhang 2 *
1.Department of Mathematics, Sichuan University, Chengdu , 610065,P.R.China
2.Department of Mathematics, Sichuan University, Chengdu,610065 , P.R.China
*Correspondence author
#Submitted by
Subject:
Funding: 教育部博士点基金项目（No.项目编号： 20120181110060)）
Opened online:30 December 2015
Accepted by: none
Citation: MingTang,Shiqing Zhang.Existence and Uniqueness of the Solution for a Class of Fractional Stochastic Differential Equations[OL]. [30 December 2015] http://en.paper.edu.cn/en_releasepaper/content/4673158
 
 
In this paper we get the following result: (i)When Hurst index 1/n<H<1/(n-1), n>2, we prove the integration by parts of stochastic integral formula about a special class of stochastic process driven by fractional Brown motion (ii)using Picard's iteration method, we study existence and uniqueness of solutions of stochastic differential equations driven by fractional Brown motion(fBm) with Hurst index 1/3<H<1/2. (iii) using same method, for Hurst index 1/n<H<1/(n-1). (iv) and for Hurst index H=1/n.
Keywords:Fractional stochastic differential equations; fractional Brown motion; the solutions; the existence and uniqueness; Picard's iteration
 
 
 

For this paper
  • ● PDF (0B)
  • ● Revision 0 　　
  • ● Print this paper
  • ● Recommend this paper to a friend
  • ● Add to my favorite list

    Saved Papers

    Please enter a name for this paper to be shown in your personalized Saved Papers list

Tags
Add yours

Related Papers

Statistics
PDF Downloaded 95
Bookmarked 0
Recommend 0
Comments Array
Submit your papers