Solving a stochastic heat equation driven by a bi-fractional noise

DOI10.1186/S13661-016-0574-YzbMATH Open1338.60109OpenAlexW2304856314WikidataQ59467911 ScholiaQ59467911MaRDI QIDQ276352FDOQ276352

Xichao Sun, Xianye Yu, Litan Yan

Publication date: 3 May 2016

Published in: Boundary Value Problems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13661-016-0574-y

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zbMATH Keywords

Malliavin calculusheat equationbi-fractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17) Stochastic integrals (60H05)

Cites Work

• The Malliavin Calculus and Related Topics
• A decomposition of the bifractional Brownian motion and some applications
• Stochastic calculus for fractional Brownian motion and related processes.
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• MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS
• Functional Integration and Partial Differential Equations. (AM-109)
• Title not available (Why is that?)
• Stochastic Calculus for Fractional Brownian Motion and Applications
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• Sample path properties of bifractional Brownian motion
• \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
• Wiener integrals, Malliavin calculus and covariance measure structure
• Analysis of Variations for Self-similar Processes
• Integral transformations and anticipative calculus for fractional Brownian motions
• Title not available (Why is that?)
• ON THE COLLISION LOCAL TIME OF BIFRACTIONAL BROWNIAN MOTIONS
• Feynman-Kac formula for the heat equation driven by fractional noise with Hurst parameter \(H < 1/2\)
• Selected aspects of fractional Brownian motion.
• Feynman-Kac formula for heat equation driven by fractional white noise
• Smoothness for the collision local times of bifractional Brownian motions

Cited In (2)

• Some properties of bifractional Bessel processes driven by bifractional Brownian motion
• Stochastic solutions for time-fractional heat equations with complex spatial variables

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