New Proof for the Theorem of Existence and Uniqueness of a Class of Fractional Stochastic Differential Equations
13 Pages Posted: 19 Dec 2018
Date Written: July 1, 2018
This paper provides a proof of the existence and uniqueness theorem for the general form of fractional stochastic equations. The proof uses an approximation approach to convert fractional stochastic equation driven by fraction Brownian motion to an equivalent stochastic equation driven by standard Brownian motion. Further, the proof uses some inequalities.
Keywords: fractional stochastic differential equation, approximation approach, stochastic differential equation
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