Cauchy Problem for a Stochastic Fractional Differential Equation with Caputo-Itô Derivative
Keyword(s):
In this note, we define an operator on a space of Itô processes, which we call Caputo-Itô derivative, then we considerer a Cauchy problem for a stochastic fractional differential equation with this derivative. We demonstrate the existence and uniqueness by a contraction mapping argument and some examples are given.
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