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Stochastic evolution equations with fractional Brownian motion |
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| Authors: | S?Tindel CA?Tudor |
| Institution: | (1) Département de Mathématiques, Institut Galilée, Université de Paris 13, Avenue J.-B. Clément, 93430 Villetaneuse, France;(2) Laboratoire de Probabilités, Université de Paris 6, 4, Place Jussieu, 75252 Paris Cedex 05, France;(3) Dept. Mathematics & Dept. Statistics, Purdue University, 1399 Math Sci Bldg, West Lafayette, IN 47907, USA |
| Abstract: | In this paper linear stochastic evolution equations driven by infinite-dimensional fractional Brownian motion are studied. A necessary and sufficient condition for the existence and uniqueness of the solution is established and the spatial regularity of the solution is analyzed; separate proofs are required for the cases of Hurst parameter above and below 1/2. The particular case of the Laplacian on the circle is discussed in detail. Mathematics Subject Classification (2000): 60H15, 60G15 |
| Keywords: | Fractional Brownian motion Stochastic partial differential equation Hurst parameter |
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