Stochastic evolution equations driven by a Liouville fractional Brownian motion

DOI10.1007/S10587-012-0011-ZzbMATH Open1249.60109arXiv1001.4013OpenAlexW2052899894MaRDI QIDQ2897342FDOQ2897342

Donna Mary Salopek, Zdzislaw Brzezniak, Jan van Neerven

Publication date: 10 July 2012

Published in: Czechoslovak Mathematical Journal (Search for Journal in Brave)

Abstract: Let H be a Hilbert space and E a Banach space. We set up a theory of stochastic integration of L(H,E)-valued functions with respect to H-cylindrical Liouville fractional Brownian motions (fBm) with arbitrary Hurst parameter in the interval (0,1). For Hurst parameters in (0,1/2) we show that a function F:(0,T) o L(H,E) is stochastically integrable with respect to an H-cylindrical Liouville fBm if and only if it is stochastically integrable with respect to an H-cylindrical fBm with the same Hurst parameter. As an application we show that second-order parabolic SPDEs on bounded domains in mathbb{R}^d, driven by space-time noise which is white in space and Liouville fractional in time with Hurst parameter in (d/4,1) admit mild solution which are H"older continuous both and space.

Full work available at URL: https://arxiv.org/abs/1001.4013

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zbMATH Keywords

stochastic evolution equationfractional Ornstein-Uhlenbeck processLiouville fractional Brownian motion

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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Cited In (20)

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• Linear stochastic differential equations driven by Gauss-Volterra processes and related linear-quadratic control problems
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• Lp-valued stochastic convolution integral driven by Volterra noise
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