Stability of linear stochastic differential equations of mixed type with fractional Brownian motions

DOI10.1134/S0012266121050025MaRDI QIDQ2034728zbMATH OpenOpenAlexFDO

Authors I. V. Kachan

Publication date 23 June 2021

Published in Differential Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0012266121050025

zbMATH Keywords

fractional Brownian motionshomogeneous stochastic differential equations

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

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• Asymptotical stability of differential equations driven by Hölder continuous paths
• Differential equations driven by fractional Brownian motion
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• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motion, discontinuous coefficients, and a partly degenerate diffusion operator
• Existence of weak solutions of stochastic differential equations with standard and fractional Brownian motions and with discontinuous coefficients
• scientific article; zbMATH DE number 625166 (Why is no real title available?)
• scientific article; zbMATH DE number 7655921 (Why is no real title available?)
• Integration questions related to fractional Brownian motion
• Integration with respect to fractal functions and stochastic calculus. I
• On the stability of nonlinear stochastic systems
• Properties of solutions of stochastic differential equations with standard and fractional Brownian motions
• Stability and attraction of solutions of nonlinear stochastic differential equations with standard and fractional Brownian motions
• Stochastic Calculus for Fractional Brownian Motion and Applications
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• Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion
• Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson
• The existence and uniqueness of the solution of an integral equation driven by a \(p\)-semimartin\-gale of special type.

Cited in

(6)

• Stability of stochastic differential equations driven by multifractional Brownian motion
• Stability of solutions of stochastic differential equations weakly controlled by rough paths with arbitrary positive Hölder exponent
• Stability result for fractional neutral stochastic differential system driven by mixed fractional Brownian motion
• Stability of stochastic differential equation with linear fractal noise
• Stability and attraction of solutions of nonlinear stochastic differential equations with standard and fractional Brownian motions
• Finiteness of moments of solutions to mixed-type stochastic differential equations driven by standard and fractional Brownian motions

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