Spectral densities related to some fractional stochastic differential equations

DOI10.1214/16-ECP4411zbMATH Open1343.60071arXiv1507.01712MaRDI QIDQ287799FDOQ287799

Authors: Mirko D'Ovidio, Enzo Orsingher, L. Sakhno 

Publication date: 23 May 2016

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: In this paper we consider fractional higher-order stochastic differential equations of the form �egin{align*} left( mu + c_alpha frac{d^alpha}{d(-t)^alpha} ight)^�eta X(t) = mathcal{E}(t) , quad tgeq 0,; mu>0,; �eta>0,; alpha in (0,1) cup mathbb{N} end{align*} where $mathcalE(t)$ is a Gaussian white noise. We derive stochastic processes satisfying the above equations of which we obtain explicitly the covariance functions and the spectral functions.

Full work available at URL: https://arxiv.org/abs/1507.01712

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zbMATH Keywords

Airy functionsfractional stochastic differential equationsGaussian white noisehigher order heat equationsspectral densitiesWeyl fractional derivatives

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional derivatives and integrals (26A33) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

Cited In (6)

• Spectral analysis of fractional hyperbolic diffusion equations with random data
• Spectral analysis of fractional kinetic equations with random data.
• Investigation of Airy equations with random initial conditions
• On the spectra of Riemann-Liouville fractional Brownian motion
• Higher-order spectral densities of fractional random fields
• MODELLING OF HIGH-DIMENSIONAL DIFFUSION STOCHASTIC PROCESS WITH NONLINEAR COEFFICIENTS FOR ENGINEERING APPLICATIONS — PART II: APPROXIMATIONS FOR COVARIANCE AND SPECTRAL DENSITY OF STATIONARY PROCESS

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