New Proof for the Theorem of Existence and Uniqueness of a Class of Fractional Stochastic Differential Equations

13 Pages Posted: 19 Dec 2018

See all articles by Mohammed Al-Hagyan

Mohammed Al-Hagyan

Prince Sattam Bin Abdulaziz University - College of Science and Humanities Studies

Masnita Misiran

University of Malaya (UM)

Zurni Omar

Universiti Utara Malaysia

Date Written: July 1, 2018

Abstract

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

Suggested Citation

Al-Hagyan, Mohammed and Misiran, Masnita and Omar, Zurni, New Proof for the Theorem of Existence and Uniqueness of a Class of Fractional Stochastic Differential Equations (July 1, 2018). Proceedings of International Conference on Fractional Differentiation and its Applications (ICFDA) 2018. Available at SSRN: https://ssrn.com/abstract=3286083 or http://dx.doi.org/10.2139/ssrn.3286083

Mohammed Al-Hagyan (Contact Author)

Prince Sattam Bin Abdulaziz University - College of Science and Humanities Studies ( email )

Al Kharj
Saudi Arabia

Masnita Misiran

University of Malaya (UM) ( email )

Kuala Lumpur, Wilayah Persekutuan 50603
University of Malaya (UM)
Kuala Lumpur, Wilayah Persekutuan 50603
Malaysia

Zurni Omar

Universiti Utara Malaysia ( email )

Sintok
COLGIS, UUM
Sintok, KY KEDAH DARUL 06010
Malaysia

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