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

DOI10.1016/J.PHYSA.2019.121565MaRDI QIDQ2162176zbMATH OpenOpenAlexFDO

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)

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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
• Weak solutions for stochastic differential equations with additive fractional noise
• Stochastic differential equations for fractional Brownian motions
• Non-instantaneous impulsive Hilfer fractional stochastic differential equations driven by fractional Brownian motion
• Kolmogorov equation and large-time behaviour for fractional Brownian motion driven linear SDE's.
• Strong approximation of stochastic differential equations driven by a time-changed Brownian motion with time-space-dependent coefficients
• scientific article; zbMATH DE number 7781218 (Why is no real title available?)
• Broken detailed balance and non-equilibrium dynamics in noisy social learning models

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