Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion

DOI10.1016/J.PHYSA.2019.121565OpenAlexW2947456809MaRDI QIDQ2162176FDOQ2162176

Authors: Zhi Li, Wentao Zhan, Liping Xu 

Publication date: 5 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.121565

zbMATH Keywords

fractional Brownian motionstochastic differential equationsGirsanov theorem

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Statistical mechanics, structure of matter (82-XX) Stochastic integrals (60H05)

Cites Work

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Cited In (8)

• Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions
• Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
• Kolmogorov equation and large-time behaviour for fractional Brownian motion driven linear SDE's.
• Non-instantaneous impulsive Hilfer fractional stochastic differential equations driven by fractional Brownian motion
• Stochastic differential equations for fractional Brownian motions
• Weak solutions for stochastic differential equations with additive fractional noise
• Broken detailed balance and non-equilibrium dynamics in noisy social learning models
• Title not available (Why is that?)

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