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The existence and uniqueness of the solution of an integral equation driven by a p-semimartingale of special type

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  • Kubilius, K.

Abstract

We consider the integral equation driven by a standard Brownian motion and fractional Brownian motion (fBm). Since fBm is not a semimartingale, we cannot use the semimartingale theory to define an integral with respect to the fBm. Furthermore, a well-developed theory of stochastic differential equations is not applicable to solve it. Existence and uniqueness conditions are obtained for a solution in the space of continuous functions with q-bounded variation, q>2.

Suggested Citation

  • Kubilius, K., 2002. "The existence and uniqueness of the solution of an integral equation driven by a p-semimartingale of special type," Stochastic Processes and their Applications, Elsevier, vol. 98(2), pages 289-315, April.
    • Handle: RePEc:eee:spapps:v:98:y:2002:i:2:p:289-315
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    Cited by:

    1. Falkowski, Adrian & Słomiński, Leszek, 2022. "SDEs with two reflecting barriers driven by semimartingales and processes with bounded p-variation," Stochastic Processes and their Applications, Elsevier, vol. 146(C), pages 164-186.
    2. Mishura, Yuliya & Shalaiko, Taras & Shevchenko, Georgiy, 2015. "Convergence of solutions of mixed stochastic delay differential equations with applications," Applied Mathematics and Computation, Elsevier, vol. 257(C), pages 487-497.
    3. José Luís Silva & Mohamed Erraoui & El Hassan Essaky, 2018. "Mixed Stochastic Differential Equations: Existence and Uniqueness Result," Journal of Theoretical Probability, Springer, vol. 31(2), pages 1119-1141, June.
    4. Slominski, Leszek & Ziemkiewicz, Bartosz, 2005. "Inequalities for the norms of integrals with respect to a fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 73(1), pages 79-90, June.
    5. Falkowski, Adrian & Słomiński, Leszek, 2017. "SDEs with constraints driven by semimartingales and processes with bounded p-variation," Stochastic Processes and their Applications, Elsevier, vol. 127(11), pages 3536-3557.
    6. Kęstutis Kubilius, 2024. "The Implicit Euler Scheme for FSDEs with Stochastic Forcing: Existence and Uniqueness of the Solution," Mathematics, MDPI, vol. 12(16), pages 1-18, August.
    7. Alexander Melnikov & Yuliya Mishura & Georgiy Shevchenko, 2015. "Stochastic Viability and Comparison Theorems for Mixed Stochastic Differential Equations," Methodology and Computing in Applied Probability, Springer, vol. 17(1), pages 169-188, March.
    8. Shevchenko, Georgiy & Shalaiko, Taras, 2013. "Malliavin regularity of solutions to mixed stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 83(12), pages 2638-2646.

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