Uniqueness and explosion time of solutions of stochastic differential equations driven by fractional Brownian motion

DOI10.1007/s10114-012-1003-5zbMath1364.60077OpenAlexW2078185774MaRDI QIDQ1941303

Yunmin Zhu, Jicheng Liu, Jie Xu

Publication date: 12 March 2013

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-012-1003-5

zbMATH Keywords

existenceuniquenessfractional Brownian motionnon-Lipschitz coefficientsexplosion time

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05)

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Cites Work

• The high-order SPDEs driven by multi-parameter fractional noises
• The stochastic wave equations driven by fractional and colored noises
• Small random perturbations of a dynamical system with blow-up
• Evolution equations driven by a fractional Brownian motion
• Environmental Brownian noise suppresses explosions in population dynamics.
• Large deviation principle for the fourth-order stochastic heat equations with fractional noises
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• Regularization of differential equations by fractional noise.
• Continuity of the Explosion Time in Stochastic Differential Equations
• The Malliavin Calculus and Related Topics
• Nonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion
• The Blow-Up Time for Solutions of Nonlinear Heat Equations with Small Diffusion
• Numerical Analysis of Stochastic Differential Equations with Explosions
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