A time fractional functional differential equation driven by the fractional Brownian motion

Let $B^H$ be a fractional Brownian motion with Hurst index $H>\frac12$. In this paper, we prove the global existence and uniqueness of the equation $$ \begin{cases} ^CD_t^{\gamma}x(t)=f(x_t)+G(x_t)\frac{d}{dt}B^H(t),\ \ \ \ &t\in(0,T], \x(t)=\eta(t), \ \ \ \ \ &t\in[-r,0], \end{cases} $$ where $\max\{H,2-2H\}<\gamma<1$, $^CD_t^{\gamma}$ is the Caputo derivative, and $x_t\in \mathcal{C}_r=\mathcal{C}([-r,0],\mathbb{R})$ with $x_t(u)=x(t+u),u\in[-r,0]$. We also study the dependence of the solution on the initial condition.     

Stochastic Burgers' equation driven by fractional Brownian motion

In this paper, we consider the stochastic Burgers' equation driven by a genuine cylindrical fractional Brownian motion with Hurst parameter . We first prove the regularities of the solution to the linear stochastic problem corresponding to the stochastic Burgers' equation. Then we obtain the local and global existence and uniqueness results for the stochastic Burgers' equation.     

Stochastic elastic equation driven by fractional Brownian motion

In this paper, we consider the stochastic elastic equation driven by a cylindrical fractional Brownian motion. The regularities of the solution to the linear stochastic problem corresponding to the stochastic elastic equation are proved. Then, we obtain the existence of the solution using the Picard iteration.     

A fragmentation process connected to Brownian motion

Let (B _s , s≥ 0) be a standard Brownian motion and T ₁ its first passage time at level 1. For every t≥ 0, we consider ladder time set ℒ ^(t) of the Brownian motion with drift t, B ^(t) _s = B _s + ts, and the decreasing sequence F(t) = (F ₁(t), F ₂(t), …) of lengths of the intervals of the random partition of [0, T ₁] induced by ℒ ^(t) . The main result of this work is that (F(t), t≥ 0) is a fragmentation process, in the sense that for 0 ≤t < t′, F(t′) is obtained from F(t) by breaking randomly into pieces each component of F(t) according to a law that only depends on the length of this component, and independently of the others. We identify the fragmentation law with the one that appears in the construction of the standard additive coalescent by Aldous and Pitman [3]. Received: 19 February 1999 / Revised version: 17 September 1999 /?Published online: 31 May 2000     

On $L_p$-solution of fractional heat equation driven by fractional Brownian motion

In this paper, we study the fractional stochastic heat equation driven by fractional Brownian motions of the form $$ du(t,x)=\left(-(-\Delta)^{\alpha/2}u(t,x)+f(t,x)\right)dt +\sum\limits^{\infty}_{k=1} g^k(t,x)\delta\beta^k_t $$ with $u(0,x)=u_0$, $t\in[0,T]$ and $x\in\mathbb{R}^d$, where $\beta^k=\{\beta^k_t,t\in[0,T]\},k\geq1$ is a sequence of i.i.d. fractional Brownian motions with the same Hurst index $H>1/2$ and the integral with respect to fractional Brownian motion is Skorohod integral. By adopting the framework given by Krylov, we prove the existence and uniqueness of $L_p$-solution to such equation.     

Weak convergence to fractional Brownian motion in Brownian scenery

 Kesten and Spitzer have shown that certain random walks in random sceneries converge to stable processes in random sceneries. In this paper, we consider certain random walks in sceneries defined using stationary Gaussian sequence, and show their convergence towards a certain self-similar process that we call fractional Brownian motion in Brownian scenery. Received: 17 April 2002 / Revised version: 11 October 2002 / Published online: 15 April 2003 Research supported by NSFC (10131040). Mathematics Subject Classification (2002): 60J55, 60J15, 60J65 Key words or phrases: Weak convergence – Random walk in random scenery – Local time – Fractional Brownian motion in Brownian scenery     

A martingale characterization of the set-indexed Brownian motion

We characterize a Brownian motion indexed by a semilattice of sets, using the theory of set-indexed martingales: a square integrable continuous set-indexed strong martingale is a Brownian motion if and only if its compensator is deterministic and continuous.Research supported by a grant from the Natural Sciences and Engineering Research Council of Canada.Research done while this author was visiting the University of Ottawa. He wishes to thank Professor Ivanoff for her kind hospitality.     

On weak convergence to Brownian motion

Summary We consider a minimal form of the usual conditions for the dependent central limit theorem and invariance principle for near martingales. We show that these conditions imply convergence to Brownian motion in a way that is slightly stronger than weak convergence in D[0,). On the other hand, if a sequence of processes with paths in D[0,) converges to Brownian motion in this way, then we can always find a sequence of partitions of the time axis that is such that these conditions hold for the corresponding array of increments.     

A series expansion of fractional Brownian motion

Let B be a fractional Brownian motion with Hurst index H(0,1). Denote by the positive, real zeros of the Bessel function J_–H of the first kind of order –H, and let be the positive zeros of J_1–H. In this paper we prove the series representation where X₁,X₂,... and Y₁,Y₂,... are independent, Gaussian random variables with mean zero and and the constant c_H² is defined by c_H²=^–1(1+2H) sin H. We show that with probability 1, both random series converge absolutely and uniformly in t[0,1], and we investigate the rate of convergence.Mathematics Subject Classification (2000): 60G15, 60G18, 33C10     

Applying Brownian motion to the study of birth-death chains

Basic properties of Brownian motion are used to derive two results concerning birth-death chains. First, the probability of extinction is calculated. Second, sufficient conditions on the transition probabilities of a birth-death chain are given to ensure that the expected value of the chain converges to a limit. The theory of Brownian motion local time figures prominently in the proof of the second result.     

Pathwise uniqueness for perturbed versions of Brownian motion and reflected Brownian motion

Any solution of the functional equation