Spectral densities related to some fractional stochastic differential equations

DOI10.1214/16-ECP4411MaRDI QIDQ287799zbMATH OpenFDO

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

Publication date 23 May 2016

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

Full work available at URL https://arxiv.org/abs/1507.01712, https://projecteuclid.org/euclid.ecp/1456412898

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)

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.

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Cited in

(6)

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

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