Local pathwise solutions to stochastic evolution equations driven by fractional Brownian motions with Hurst parameters H (1/3,1/2]

DOI10.3934/DCDSB.2015.20.2553MaRDI QIDQ258410zbMATH OpenOpenAlexFDO

Authors Kening Lu, María J. Garrido-Atienza, Björn Schmalfuss

Publication date 10 March 2016

Published in Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.5237

zbMATH Keywords

Hilbert-space valued fractional Brownian motionpathwise solutionsstochastic PDEs

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Integrals of Riemann, Stieltjes and Lebesgue type (26A42) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: In this article we are concerned with the study of the existence and uniqueness of pathwise mild solutions to evolutions equations driven by a H"older continuous function with H"older exponent in $(1/3,1/2)$. Our stochastic integral is a generalization of the well-known Young integral. To be more precise, the integral is defined by using a fractional integration by parts formula and it involves a tensor for which we need to formulate a new equation. From this it turns out that we have to solve a system consisting in a path and an area equations. In this paper we prove the existence of a unique local solution of the system of equations. The results can be applied to stochastic evolution equations with a non-linear diffusion coefficient driven by a fractional Brownian motion with Hurst parameter in $(1/3,1/2]$, which is particular includes white noise.

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Cited in

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