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

作　　者：Jie XU Yun Min ZHU Ji Cheng LIU 

机构地区：[1]College of Mathematics,Sichuan University [2]School of Mathematics and Statistics,Huazhong University of Science and Technology

出　　处：《Acta Mathematica Sinica,English Series》2012年第12期2407-2416,共10页数学学报（英文版）

基　　金：Supported in part by National Natural Science Foundation of China (Grant Nos. 10901065,60934009)

摘　　要：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.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.

关 键 词：EXISTENCE UNIQUENESS fractional Brownian motion non-Lipschitz coefficients explosion time 

分 类 号：O211.63[理学—概率论与数理统计] O211.6[理学—数学]