Semilinear fractional stochastic differential equations driven by a γ-Hölder continuous signal with γ > 2/3

In this paper, we use the techniques of fractional calculus to study the existence of a unique solution to semilinear fractional differential equation driven by a [Formula: see text]-Hölder continuous function [Formula: see text] with [Formula: see text]. Here, the initial condition is a function that may not be defined at zero and the involved integral with respect to [Formula: see text] is the extension of the Young integral [An inequality of the Hölder type, connected with Stieltjes integration, Acta Math. 67 (1936) 251–282] given by Zähle [Integration with respect to fractal functions and stochastic calculus I, Probab. Theory Related Fields 111 (1998) 333–374].