Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equations.
Анотація
The existence and uniqueness conditions for solution of semilinear stochastic differential equations that contains differentials with respect to Wiener process and fractional Brownian motion are considered in this paper. Also, for such mixed Brownian — fractional Brownian semilinear stochastic differential equations the conditions of measure transformation are established.
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