共查询到20条相似文献,搜索用时 984 毫秒
1.
In this note, we prove an existence and uniqueness result of solution for stochastic differential delay equations with hereditary
drift driven by a fractional Brownian motion with Hurst parameter H > 1/2. Then, we show that, when the delay goes to zero, the solutions to these equations converge, almost surely and in L
p
, to the solution for the equation without delay. The stochastic integral with respect to the fractional Brownian motion is
a pathwise Riemann–Stieltjes integral. 相似文献
2.
Abstract We prove an existence and uniqueness theorem for solutions of multidimensional, time dependent, stochastic differential equations driven simultaneously by a multidimensional fractional Brownian motion with Hurst parameter H > 1/2 and a multidimensional standard Brownian motion. The proof relies on some a priori estimates, which are obtained using the methods of fractional integration and the classical Itô stochastic calculus. The existence result is based on the Yamada–Watanabe theorem. 相似文献
3.
We obtain estimates for functionals of solutions of stochastic differential equations with standard and fractional Brownian motion. We prove a theorem on the existence of weak solutions of stochastic differential equations with standard and fractional Brownian motion, discontinuous coefficients, and a partly degenerate diffusion operator. 相似文献
4.
We discuss stochastic functional partial differential equations and neutral partial differential equations of retarded type driven by fractional Brownian motion with Hurst parameter H>1/2. Using the Girsanov transformation argument, we establish the quadratic transportation inequalities for the law of the mild solution of those equations driven by fractional Brownian motion under the L2 metric and the uniform metric. 相似文献
5.
Jean-Christophe Breton Jean-Fran?ois Coeurjolly 《Statistical Inference for Stochastic Processes》2012,15(1):1-26
In this paper, we show how concentration inequalities for Gaussian quadratic form can be used to propose confidence intervals
of the Hurst index parametrizing a fractional Brownian motion. Both cases where the scaling parameter of the fractional Brownian
motion is known or unknown are investigated. These intervals are obtained by observing a single discretized sample path of
a fractional Brownian motion and without any assumption on the Hurst parameter H. 相似文献
6.
7.
In this article, we study the existence of mild solutions to stochastic impulsive evolution equations with time delays, driven by fractional Brownian motion with the Hurst index H > 1/2 via a new fixed point analysis approach. 相似文献
8.
Kerboua Mourad 《随机分析与应用》2018,36(2):209-223
In this paper, the approximate controllability for Sobolev-type fractional neutral stochastic evolution equations with fractional stochastic nonlocal conditions and fractional Brownian motion in a Hilbert space are studied. The results are obtained by using semigroup theory, fractional calculus, stochastic integrals for fractional Brownian motion, Banach's fixed point theorem, and methods adopted directly from deterministic control problems for the main results. Finally, an example is given to illustrate the application of our result. 相似文献
9.
《随机分析与应用》2013,31(6):1577-1607
Abstract Linear and semilinear stochastic evolution equations with additive noise, where the forcing term is an infinite dimensional fractional Brownian motion are studied. Under usual dissipativity conditions the equations are shown to define random dynamical systems which have unique, exponentially attracting fixed points. The results are applied to stochastic parabolic PDE's. They are also applicable to standard finite-dimensional dissipative stochastic equation driven by fractional Brownian motion. 相似文献
10.
We study the maximum likelihood estimator for stochastic equations with additive fractional Brownian sheet. We use the Girsanov
transform for the the two-parameter fractional Brownian motion, as well as the Malliavin calculus and Gaussian regularity
theory.
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11.
Toshihiro Yamada 《随机分析与应用》2015,33(5):882-902
This article shows an analytically tractable small noise asymptotic expansion with a sharp error estimate for the expectation of the solution to Young’s pathwise stochastic differential equations (SDEs) driven by fractional Brownian motions with the Hurst index H > 1/2. In particular, our asymptotic expansion can be regarded as small noise and small time asymptotics by the error estimate with Malliavin culculus. As an application, we give an expansion formula in one-dimensional general Young SDE driven by fractional Brownian motion. We show the validity of the expansion through numerical experiments. 相似文献
12.
This paper concerns a class of stochastic differential equations driven by fractional Brownian motion. The existence and uniqueness of almost automorphic solutions in distribution are established provided the coefficients satisfy some suitable conditions. To illustrate the results obtained in the paper, a stochastic heat equation driven by fractional Brownian motion is considered. 1 1 The abstract section is available on the university repository site at http://math.dlut.edu.cn/info/1019/4511.htm .
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13.
Wolfgang Bock Jos Luís da Silva Ludwig Streit 《Mathematical Methods in the Applied Sciences》2019,42(18):7452-7460
In this paper, we investigate the potential for a class of non‐Gaussian processes so‐called generalized grey Brownian motion. We obtain a closed analytic form for the potential as an integral of the M‐Wright functions and the Green function. In particular, we recover the special cases of Brownian motion and fractional Brownian motion. In addition, we give the connection to a fractional partial differential equation and its the fundamental solution. 相似文献
14.
T. Sottinen 《Journal of Theoretical Probability》2004,17(2):309-325
We consider Gaussian processes that are equivalent in law to the fractional Brownian motion and their canonical representations. We prove a Hitsuda type representation theorem for the fractional Brownian motion with Hurst index H1/2. For the case H>1/2 we show that such a representation cannot hold. We also consider briefly the connection between Hitsuda and Girsanov representations. Using the Hitsuda representation we consider a certain special kind of Gaussian stochastic equation with fractional Brownian motion as noise. 相似文献
15.
G. Jumarie 《Applied Mathematics Letters》2003,16(8):1171-1177
By combining the Kramers-Moyal expansion with fractional Brownian motion of order n, in a formal symbolic calculus, one can obtain an approximation for the solution of some stochastic differential equations involving both Gaussian and Poissonian white noises, in terms of rotating Gaussian white noises on the grid defined by the complex roots of the unity. Illustrative examples are outlined. 相似文献
16.
J. Šnupárková 《Czechoslovak Mathematical Journal》2009,59(4):879-907
Existence of a weak solution to the n-dimensional system of stochastic differential equations driven by a fractional Brownian motion with the Hurst parameter H ∈ (0, 1) \ {1/2} is shown for a time-dependent but state-independent diffusion and a drift that may by split into a regular
part and a singular one which, however, satisfies the hypotheses of the Girsanov Theorem. In particular, a stochastic nonlinear
oscillator driven by a fractional noise is considered. 相似文献
17.
We define and prove the existence of a fractional Brownian motion indexed by a collection of closed subsets of a measure space.
This process is a generalization of the set-indexed Brownian motion, when the condition of independance is relaxed. Relations
with the Lévy fractional Brownian motion and with the fractional Brownian sheet are studied. We prove stationarity of the
increments and a property of self-similarity with respect to the action of solid motions. Moreover, we show that there no
“really nice” set indexed fractional Brownian motion other than set-indexed Brownian motion. Finally, behavior of the set-indexed
fractional Brownian motion along increasing paths is analysed.
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18.
The backward stochastic differential equations driven by both standard and fractional Brownian motions (or, in short, SFBSDE) are studied. A Wick-Itô stochastic integral for a fractional Brownian motion is adopted. The fractional Itô formula for the standard and fractional Brownian motions is provided. Introducing the concept of the quasi-conditional expectation, we study some its properties. Using the quasi-conditional expectation, we also discuss the existence and uniqueness of solutions to general SFBSDEs, where a fixed point principle is employed. Moreover, solutions to linear SFBSDEs are investigated. Finally, an explicit solution to a class of linear SFBSDEs is found. 相似文献
19.
El Hassan Lakhel 《随机分析与应用》2016,34(3):427-440
This article focuses on controllability results of neutral stochastic delay partial functional integro-differential equations perturbed by fractional Brownian motion. Sufficient conditions are established using the theory of resolvent operators developed by Grimmer [Resolvent operators for integral equations in Banach spaces, Trans. Amer. Math. Soc., 273(1982):333–349] combined with a fixed point approach for achieving the required result. An example is provided to illustrate the theory. 相似文献
20.
Adrian Falkowski Leszek Słomiński 《Stochastic Processes and their Applications》2017,127(11):3536-3557
We study the existence, uniqueness and stability of solutions of general stochastic differential equations with constraints driven by semimartingales and processes with bounded -variation. Applications to SDEs with constraints driven by fractional Brownian motion and standard Brownian motion are given. 相似文献