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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Document Type: Research Article
Affiliations: Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv, 64 Volodymyrska, 01601,Kyiv, Ukraine
Publication date: March 4, 2014