Time-dependent neutral stochastic functional differential equations driven by a fractional Brownian motion | Zendy

Brahim Boufoussi | Zendy; Salah Hajji | Zendy; El Hassan Lakhel | Zendy

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Time-dependent neutral stochastic functional differential equations driven by a fractional Brownian motion

Author(s) -

Brahim Boufoussi,

Salah Hajji,

El Hassan Lakhel

Publication year - 2016

Publication title -

communications on stochastic analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.224

H-Index - 10

eISSN - 2688-6669

pISSN - 0973-9599

DOI - 10.31390/cosa.10.1.01

Subject(s) - fractional brownian motion , stochastic differential equation , brownian motion , geometric brownian motion , mathematics , motion (physics) , diffusion process , mathematical analysis , physics , classical mechanics , computer science , statistics , knowledge management , innovation diffusion

In this paper we consider a class of time-dependent neutral stochastic functional differential equations with finite delay driven by a fractional Brownian motion with Hurst parameter H ∈ ( 1 2 , 1), in a separable real Hilbert space. We prove an existence and uniqueness result of mild solution by means of the Banach fixed point principle. A practical example is provided to illustrate the viability of the abstract result of this work.

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