Anh, P.T. and Doan, T.S. and Huong, P.T. (2019) A variation of constant formula for Caputo fractional stochastic differential equations. Statistics and Probability Letters, 145. pp. 351-358. ISSN 1677152
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Abstract
We establish and prove a variation of constant formula for Caputo fractional stochastic differential equations whose coefficients satisfy a standard Lipschitz condition. The main ingredient in the proof is to use Ito's representation theorem and the known variation of constant formula for deterministic Caputo fractional differential equations. As a consequence, for these systems we point out the coincidence between the notion of classical solutions introduced in Wang et al. (2016) and mild solutions introduced in Sakthivel et al. (2013). © 2018 Elsevier B.V.
Item Type: | Article |
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Divisions: | Faculties > Faculty of Information Technology |
Identification Number: | 10.1016/j.spl.2018.10.010 |
Additional Information: | Language of original document: English. |
URI: | http://eprints.lqdtu.edu.vn/id/eprint/9388 |