Fractional Brownian motions ruled by nonlinear equations

DOI10.1016/J.AML.2019.106160MaRDI QIDQ2187110zbMATH OpenOpenAlexWikidataFDO

Authors Roberto Garra, E. Issoglio, Giorgio S. Taverna

Publication date 2 June 2020

Published in Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1807.04642, https://eprints.whiterose.ac.uk/154173/1/fBm_and_nonlinear_review_bw.pdf

zbMATH Keywords

fractional Brownian motionsfractional integrals and derivativesiterated fractional Brownian motionsnonlinear fractional equationstime-dependent diffusion coefficient

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Fractional partial differential equations (35R11) Fractional processes, including fractional Brownian motion (60G22)

Abstract: In this note we consider generalized diffusion equations in which the diffusivity coefficient is not necessarily constant in time, but instead it solves a nonlinear fractional differential equation involving fractional Riemann-Liouville time-derivative. Our main contribution is to highlight the link between these generalised equations and fractional Brownian motion (fBm). In particular, we investigate the governing equation of fBm and show that its diffusion coefficient must satisfy an additive evolutive fractional equation. We derive in a similar way the governing equation of the iterated fractional Brownian motion.

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Cites work

• Composition of processes and related partial differential equations
• Equations of Mathematical Physics and Compositions of Brownian and Cauchy Processes
• Fractional Brownian motion: theory and applications
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional derivative models for atmospheric dispersion of pollutants
• Fractional diffusions with time-varying coefficients
• scientific article; zbMATH DE number 2217537 (Why is no real title available?)
• Iterated Brownian motion in an open set.
• Stochastic Calculus for Fractional Brownian Motion and Applications

Cited in

(5)

• Iterated elastic Brownian motions and fractional diffusion equations
• The renormalization group and fractional Brownian motion
• Drifted Brownian motions governed by fractional tempered derivatives
• Fractional diffusions with time-varying coefficients
• Euler-Poisson-Darboux equations and iterated fractional Brownian motions

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