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Mixed fractional stochastic differential equations with jumps

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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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Keywords: 60H10; 60J65; Poisson measure; Wiener process; fractional Brownian motion; moments; primary 60G15; secondary 60G22; stochastic differential equation

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

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