Nonlinear fractional stochastic PDEs and BDSDEs with Hurst parameter in (1/2,1)

DOI10.1016/J.SYSCONLE.2012.02.011zbMath1250.93115OpenAlexW1982917178MaRDI QIDQ450798

Shuai Jing

Publication date: 14 September 2012

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2012.02.011

zbMATH Keywords

fractional Brownian motionstochastic partial differential equationbackward doubly stochastic differential equationDoss-Sussmann transformationRusso-Vallois integralstochastic viscosity solution

Mathematics Subject Classification ID

Nonlinear systems in control theory (93C10) Transformations (93B17) Stochastic systems in control theory (general) (93E03) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Fractional partial differential equations (35R11)

Related Items (6)

Stability of delayed impulsive stochastic differential equations driven by a fractional Brown motion with time-varying delay ⋮ BSDEs generated by fractional space-time noise and related SPDEs ⋮ Nonlinear Feynman--Kac formulas for Stochastic Partial Differential Equations with Space-Time Noise ⋮ Anticipative backward stochastic differential equations driven by fractional Brownian motion ⋮ Mean-field backward stochastic differential equations driven by fractional Brownian motion ⋮ Forward integration, convergence and non-adapted pointwise multipliers

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