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Existence and uniqueness results for a class of fractional stochastic neutral differential equations

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  • Ahmadova, Arzu
  • Mahmudov, Nazim I.

Abstract

In this paper, we investigate new results on the existence and uniqueness of mild solutions to stochastic neutral differential equations involving Caputo fractional time derivative operator with Lipschitz coefficients and under some Carathéodory-type conditions on the coefficients through the Picard approximation technique. To do so, we derive a stochastic version of variation of constants formula for Caputo fractional differential systems whose coefficients satisfy standard Lipschitz and non-Lipschitz conditions. The main points are to prove a coincidence between the integral equation and the mild solution by applying Itô’s isometry, martingale representation theorem, and the weighted maximum norm for a class of fractional stochastic neutral differential equations. Finally, examples are provided to support the efficiency of the main theory.

Suggested Citation

  • Ahmadova, Arzu & Mahmudov, Nazim I., 2020. "Existence and uniqueness results for a class of fractional stochastic neutral differential equations," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
    • Handle: RePEc:eee:chsofr:v:139:y:2020:i:c:s0960077920306494
    DOI: 10.1016/j.chaos.2020.110253
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    References listed on IDEAS

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    1. Anh, P.T. & Doan, T.S. & Huong, P.T., 2019. "A variation of constant formula for Caputo fractional stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 351-358.
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    Cited by:

    1. Seyfeddine Moualkia & Yong Xu, 2021. "On the Existence and Uniqueness of Solutions for Multidimensional Fractional Stochastic Differential Equations with Variable Order," Mathematics, MDPI, vol. 9(17), pages 1-12, August.
    2. Upadhyay, Anjali & Kumar, Surendra, 2023. "The exponential nature and solvability of stochastic multi-term fractional differential inclusions with Clarke’s subdifferential," Chaos, Solitons & Fractals, Elsevier, vol. 168(C).
    3. Xu, Shuli & Feng, Yuqiang & Jiang, Jun & Nie, Na, 2022. "A variation of constant formula for Caputo fractional stochastic differential equations with jump–diffusion," Statistics & Probability Letters, Elsevier, vol. 185(C).
    4. Linna Liu & Feiqi Deng & Boyang Qu & Yanhong Meng, 2022. "Fundamental Properties of Nonlinear Stochastic Differential Equations," Mathematics, MDPI, vol. 10(15), pages 1-18, July.
    5. Ahmadova, Arzu & Mahmudov, Nazim I., 2021. "Strong convergence of a Euler–Maruyama method for fractional stochastic Langevin equations," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 190(C), pages 429-448.
    6. Abdelhamid Mohammed Djaouti & Zareen A. Khan & Muhammad Imran Liaqat & Ashraf Al-Quran, 2024. "Existence, Uniqueness, and Averaging Principle of Fractional Neutral Stochastic Differential Equations in the L p Space with the Framework of the Ψ-Caputo Derivative," Mathematics, MDPI, vol. 12(7), pages 1-21, March.
    7. Ahmadova, Arzu & Mahmudov, Nazim I., 2021. "Ulam–Hyers stability of Caputo type fractional stochastic neutral differential equations," Statistics & Probability Letters, Elsevier, vol. 168(C).
    8. Huseynov, Ismail T. & Ahmadova, Arzu & Fernandez, Arran & Mahmudov, Nazim I., 2021. "Explicit analytical solutions of incommensurate fractional differential equation systems," Applied Mathematics and Computation, Elsevier, vol. 390(C).
    9. Luo, Danfeng & Tian, Mengquan & Zhu, Quanxin, 2022. "Some results on finite-time stability of stochastic fractional-order delay differential equations," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).

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