Some linear fractional stochastic equations

Using the multiple stochastic integrals, we prove an existence and uniqueness result for a linear stochastic equation driven by the fractional Brownian motion with any Hurst parameter. We study both the one- and two-parameter cases. When the drift is zero, we show that in the one-parameter case the solution is an exponential—thus positive—function while in the two-parameter setting the solution is negative on a non-negligible set.     

Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion

We prove the Malliavin regularity of the solution of a stochastic differential equation driven by a fractional Brownian motion of Hurst parameter H>0.5$H>0.5$. The result is based on the Fréchet differentiability with respect to the input function for deterministic differential equations driven by Hölder continuous functions. It is also shown that the law of the solution has a density with respect to the Lebesgue measure, under a suitable nondegeneracy condition.     

Brownian and fractional Brownian stochastic currents via Malliavin calculus

By using Malliavin calculus and multiple Wiener-Itô integrals, we study the existence and the regularity of stochastic currents defined as Skorohod (divergence) integrals with respect to the Brownian motion and to the fractional Brownian motion. We consider also the multidimensional multiparameter case and we compare the regularity of the current as a distribution in negative Sobolev spaces with its regularity in the Watanabe spaces.     

Differentiation formula in Stratonovich version for fractional Brownian sheet

We introduce two types of the Stratonovich stochastic integrals for two-parameter processes, and investigate the relationship of these Stratonovich integrals and various types of Skorohod integrals with respect to a fractional Brownian sheet. By using this relationship, we derive a differentiation formula in the Stratonovich sense for fractional Brownian sheet through Itô formula. Also the relationship between the two types of the Stratonovich integrals will be obtained and used to derive a differentiation formula in the Stratonovich sense. In this case, our proof is based on the repeated applications of differentiation formulas in the Stratonovich form for one-parameter Gaussian processes.     

Various types of stochastic integrals with respect to fractional Brownian sheet and their applications

In this paper, we develop a stochastic calculus related to a fractional Brownian sheet as in the case of the standard Brownian sheet. Let be a fractional Brownian sheet with Hurst parameters H=(H₁,H₂), and (²[0,1],B(²[0,1]),μ) a measure space. By using the techniques of stochastic calculus of variations, we introduce stochastic line integrals along all sufficiently smooth curves γ in ²[0,1], and four types of stochastic surface integrals: , i=1,2, , , , . As an application of these stochastic integrals, we prove an Itô formula for fractional Brownian sheet with Hurst parameters H₁,H₂∈(1/4,1). Our proof is based on the repeated applications of Itô formula for one-parameter Gaussian process.     

Stochastic Volterra equations driven by fractional Brownian motion

This paper is devoted to study a class of stochastic Volterra equations driven by fractional Brownian motion. We first prove the Driver type integration by parts formula and the shift Harnack type inequalities. As a direct application, we provide an alternative method to describe the regularities of the law of the solution. Secondly, by using the Malliavin calculus, the Bismut type derivative formula is established, which is then applied to the study of the gradient estimate and the strong Feller property. Finally, we establish the Talagrand type transportation cost inequalities for the law of the solution on the path space with respect to both the uniform metric and the L₂-metric.     

Weak solutions for stochastic differential equations with additive fractional noise

In this paper, we show the existence of a weak solution for a stochastic differential equation driven by an additive fractional Brownian motion with Hurst parameter , and a discontinuous drift. The proof of this result is based on the Girsanov theorem for the fractional Brownian motion.     

Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion

Let B^H=\{{{\displaystyle B}}_t^H,t\ge \mathrm{0}\} be a fractional Brownian motion with Hurst index H\in (\mathrm{0},\mathrm{1}). Inspired by pathwise integrals and Wick product, in this paper, we consider the forward and symmetric Wick-Itô integrals with respect to B^H as follows: {\displaystyle {\int }_{\mathrm{0}}^t{{\displaystyle u}}_s}\diamond {\mathrm{d}}^{-}{{\displaystyle B}}_s^H=\underset{\epsilon \downarrow \mathrm{0}}{\lim }{\displaystyle \frac{\mathrm{1}}{\epsilon }}{\displaystyle {\int }_{\mathrm{0}}^t{{\displaystyle u}}_s}\diamond ({{\displaystyle B}}_{s+\epsilon }^H-{{\displaystyle B}}_s^H)\mathrm{d}s,{\displaystyle {\int }_{\mathrm{0}}^t{{\displaystyle u}}_s}\diamond {\mathrm{d}}^{°}{{\displaystyle B}}_s^H=\underset{\epsilon \downarrow \mathrm{0}}{\lim }{\displaystyle \frac{\mathrm{1}}{\mathrm{2}\epsilon }}{\displaystyle {\int }_{\mathrm{0}}^t{{\displaystyle u}}_s}\diamond ({{\displaystyle B}}_{s+\epsilon }^H-{{\displaystyle B}}_{(s-\epsilon )\vee \mathrm{0}}^H)\mathrm{d}s,in probability, where ◊ denotes the Wick product. We show that the two integrals coincide with divergence-type integral of B^H for all H\in (\mathrm{0},\mathrm{1}).     

An Itô formula for a fractional Brownian sheet with arbitrary Hurst parameters

By using the white noise theory for a fractional Brownian sheet, we derive an Itô formula for the fractional Brownian sheet with arbitrary Hurst parameters .

     

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     

Comments on “Modeling fractional stochastic systems as non-random fractional dynamics driven Brownian motions”

Some results presented in the paper “Modeling fractional stochastic systems as non-random fractional dynamics driven Brownian motions” [I. Podlubny, Fractional Differential Equations, Academic Press, San Diego, 1999] are discussed in this paper. The slightly modified Grünwald-Letnikov derivative proposed there is used to deduce some interesting results that are in contradiction with those proposed in the referred paper.     

Almost-sure path properties of fractional Brownian sheet

The almost sure sample function behavior of the vector-valued fractional Brownian sheet is investigated. In particular, the global and the local moduli of continuity of the sample functions are studied. These results give precise information about the continuity and the oscillation behavior of the sample functions.     

Numerical analysis for stochastic age-dependent population equations with fractional Brownian motion

Stochastic age-dependent population equations, one of the important classes of hybrid systems are studied. In general most equations of stochastic age-dependent population do not have explicit solutions. Thus numerical approximation schemes are invaluable tools for exploring their properties. The main purpose of this paper is to develop a numerical scheme and show the convergence of the numerical approximation solution to the analytic solution. In the last section a numerical example is given.     

Weak convergence to the fractional Brownian sheet using martingale differences

We establish an invariance principle for the fractional Brownian sheet, starting from discrete random fields constructed from two-parameter strong martingales. This is an approximation in law of the fractional Brownian sheet in Skorohord space in the plane.     

Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter

We define a stochastic integral with respect to fractional Brownian motion B^H with Hurst parameter that extends the divergence integral from Malliavin calculus. For this extended divergence integral we prove a Fubini theorem and establish versions of the formulas of Itô and Tanaka that hold for all . Then we use the extended divergence integral to show that for every and all , the Russo–Vallois symmetric integral exists and is equal to , where G^′=g, while for , does not exist.     

Local times of stochastic differential equations driven by fractional Brownian motions

In this paper, we study the existence and (Hölder) regularity of local times of stochastic differential equations driven by fractional Brownian motions. In particular, we show that in one dimension and in the rough case $H<1/2$, the Hölder exponent (in $t$) of the local time is $1?H$, where $H$ is the Hurst parameter of the driving fractional Brownian motion.     

Stratonovich Calculus with Respect to Fractional Brownian Sheet

Abstract

We introduce two types of Stratonovich stochastic integrals for two-parameter process. The relationship of Stratonovich integrals to Skorohod integrals will be investigated. By using this relationship, we prove that a differentiation formula for fractional Brownian sheet in Stratonovich form can be expressed as the sum of Stratonovich integrals of two types introduced in this article.     

Stochastic integration for tempered fractional Brownian motion

Tempered fractional Brownian motion is obtained when the power law kernel in the moving average representation of a fractional Brownian motion is multiplied by an exponential tempering factor. This paper develops the theory of stochastic integrals for tempered fractional Brownian motion. Along the way, we develop some basic results on tempered fractional calculus.