Classical and generalized solutions of fractional stochastic differential equations

DOI10.1007/S40072-019-00158-2zbMATH Open1461.60049arXiv1810.12951OpenAlexW2994184706WikidataQ126575939 ScholiaQ126575939MaRDI QIDQ2219503FDOQ2219503

Authors: S. V. Lototsky, B. Rozovskii 

Publication date: 20 January 2021

Published in: Stochastic and Partial Differential Equations. Analysis and Computations (Search for Journal in Brave)

Abstract: For stochastic evolution equations with fractional derivatives, classical solutions exist when the order of the time derivative of the unknown function is not too small compared to the order of the time derivative of the noise; otherwise, there can be a generalized solution in suitable weighted chaos spaces. Presence of fractional derivatives in time and space leads to various modifications of the stochastic parabolicity condition. Interesting new effects appear when the order of the time derivative in the noise term is less than or equal to one-half.

Full work available at URL: https://arxiv.org/abs/1810.12951

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zbMATH Keywords

Caputo derivativechaos expansionanomalous diffusionfractional stochastic equationstochastic parabolicity conditionGaussian Volterra processKochubei derivative

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional ordinary differential equations (34A08) White noise theory (60H40)

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Cited In (10)

• A class of fractional stochastic differential equations
• Paracontrolled distribution approach to stochastic Volterra equations
• Regularity theory for a new class of fractional parabolic stochastic evolution equations
• Level of noises and long time behavior of the solution for space-time fractional SPDE in bounded domains
• Some approximation results for mild solutions of stochastic fractional order evolution equations driven by Gaussian noise
• Weak convergence of the L1 scheme for a stochastic subdiffusion problem driven by fractionally integrated additive noise
• A modified Euler–Maruyama method for Riemann–Liouville stochastic fractional integro-differential equations
• Numerical Approximation of Optimal Convergence for Fractional Elliptic Equations with Additive Fractional Gaussian Noise
• Strong approximation of stochastic semilinear subdiffusion and superdiffusion driven by fractionally integrated additive noise
• New results for stochastic fractional pseudo-parabolic equations with delays driven by fractional Brownian motion

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