Stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index H> 1/2
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🧮 math.PR
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brownianequationmotiondifferentialfractionalstochasticassumptionscoefficients
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We consider a mixed stochastic differential equation driven by possibly dependent fractional Brownian motion and Brownian motion. Under mild regularity assumptions on the coefficients, it is proved that the equation has a unique solution.
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