Abstract
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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© 2001 Springer Basel AG
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Krvavych, Y., Mishura, Y. (2001). Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equations.. In: Kohlmann, M., Tang, S. (eds) Mathematical Finance. Trends in Mathematics. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-8291-0_21
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DOI: https://doi.org/10.1007/978-3-0348-8291-0_21
Publisher Name: Birkhäuser, Basel
Print ISBN: 978-3-0348-9506-4
Online ISBN: 978-3-0348-8291-0
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