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A variation of constant formula for Caputo fractional stochastic differential equations

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
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

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