Uniqueness and Explosion Time of Solutions of Stochastic Differential Equations Driven by Fractional Brownian Motion

作者：Xu, Jie; Zhu, Yun Min^*; Liu, Ji Cheng

来源：Acta Mathematica Sinica-English Series, 2012, 28(12): 2407-2416.

DOI：10.1007/s10114-012-1003-5

• Existence
• uniqueness
• fractional Brownian motion
• non-Lipschitz coefficients
• explosion time

In this paper, we first study the existence and uniqueness of solutions to the stochastic differential equations driven by fractional Brownian motion with non-Lipschitz coefficients. Then we investigate the explosion time in stochastic differential equations driven by fractional Browmian motion with respect to Hurst parameter more than half with small diffusion.

• 出版日期2012-12
• 单位华中科技大学; 四川大学