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

DOI10.1186/S13661-016-0574-YMaRDI QIDQ276352zbMATH OpenOpenAlexWikidataFDO

Authors Xianye Yu, Xichao Sun, Litan Yan

Publication date 3 May 2016

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

Copyright license Creative Commons Attribution 4.0 International

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

zbMATH Keywords

Malliavin calculusheat equationbi-fractional Brownian motion

Mathematics Subject Classification ID

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

Recommendations

• Feynman-Kac formula for heat equation driven by fractional white noise
• Mixed fractional heat equation driven by fractional Brownian sheet and Lévy process
• Asymptotic behavior of the solution of heat equation driven by fractional white noise
• Stochastic heat equation with infinite dimensional fractional noise: L₂-theory
• On a semilinear double fractional heat equation driven by fractional Brownian sheet

Cites work

• scientific article; zbMATH DE number 2096694 (Why is no real title available?)
• A decomposition of the bifractional Brownian motion and some applications
• Analysis of variations for self-similar processes. A stochastic calculus approach
• Feynman-Kac formula for heat equation driven by fractional white noise
• Feynman-Kac formula for the heat equation driven by fractional noise with Hurst parameter \(H < 1/2\)
• Forward, backward and symmetric stochastic integration
• Functional Integration and Partial Differential Equations. (AM-109)
• Integral transformations and anticipative calculus for fractional Brownian motions
• MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS
• ON THE COLLISION LOCAL TIME OF BIFRACTIONAL BROWNIAN MOTIONS
• On bifractional Brownian motion
• Random walk intersections. Large deviations and related topics
• Sample path properties of bifractional Brownian motion
• Selected aspects of fractional Brownian motion.
• Self-intersection local times and collision local times of bifractional Brownian motions
• Smoothness for the collision local times of bifractional Brownian motions
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic analysis of the fractional Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic calculus with respect to Gaussian processes
• The Malliavin Calculus and Related Topics
• Wiener integrals, Malliavin calculus and covariance measure structure
• m-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index

Cited in

(7)

• Some properties of bifractional Bessel processes driven by bifractional Brownian motion
• Feynman-Kac formula for heat equation driven by fractional white noise
• Bismut formula for a stochastic heat equation with fractional noise
• Stochastic solutions for time-fractional heat equations with complex spatial variables
• Regularity properties of the solution to a stochastic heat equation driven by a fractional Gaussian noise on \(\mathbb{S}^2\)
• On the law of the solution to a stochastic heat equation with fractional noise in time
• On a semilinear double fractional heat equation driven by fractional Brownian sheet

This page was built for publication: Solving a stochastic heat equation driven by a bi-fractional noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q276352)