Stochastic functional differential equation with infinite memory driven by a fractional Brownian motion with Hurst parameter H>1/2

DOI10.1080/17442508.2016.1155589MaRDI QIDQ2833707zbMATH OpenOpenAlexWikidataFDO

Authors Don Gayan Wilathgamuwa

Publication date 25 November 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2016.1155589

zbMATH Keywords

fractional Brownian motioninfinite memorystochastic functional differential equation

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Recommendations

• Functional differential equations driven by a fractional Brownian motion
• Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter \(H>1/2\)
• Functional differential equations in Hilbert spaces driven by a fractional Brownian motion
• Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter \(H> \frac12\)
• EXISTENCE OF STRONG SOLUTIONS AND UNIQUENESS IN LAW FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION

Cited in

(12)

• Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: results and perspectives
• Functional differential equations in Hilbert spaces driven by a fractional Brownian motion
• Analog of the Kolmogorov equations for one-dimensional stochastic differential equations controlled by fractional Brownian motion with Hurst exponent \(H\in (0,1)\)
• Viability for stochastic functional differential equations with infinite memory driven by a fractional Brownian motion
• Global uniqueness result for functional differential equations driven by a Wiener process and fractional Brownian motion
• Fractional stochastic Volterra equation perturbed by fractional Brownian motion
• Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter \(H>1/2\)
• Some differential systems driven by a fBm with Hurst parameter greater than \(1/4\)
• Some linear fractional stochastic equations
• A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter
• scientific article; zbMATH DE number 7699470 (Why is no real title available?)
• Functional differential equations driven by a fractional Brownian motion

This page was built for publication: Stochastic functional differential equation with infinite memory driven by a fractional Brownian motion with Hurst parameter \(H>1/2\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2833707)