Covariance measure and stochastic heat equation with fractional noise

DOI10.2478/S13540-014-0199-8zbMATH Open1306.60094OpenAlexW2113684480MaRDI QIDQ2939461FDOQ2939461

Authors: Ciprian A. Tudor, Mounir Zili 

Publication date: 22 January 2015

Published in: Fractional Calculus and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/s13540-014-0199-8

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zbMATH Keywords

bifractional Brownian motionstochastic heat equationWiener integralcovariance measure structureHölder continuity

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Cites Work

• A decomposition of the bifractional Brownian motion and some applications
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• Title not available (Why is that?)
• Integration with respect to fractal functions and stochastic calculus. I
• Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's
• Wiener integrals, Malliavin calculus and covariance measure structure
• Analysis of variations for self-similar processes. A stochastic calculus approach
• Recent developments on stochastic heat equation with additive fractional-colored noise
• The derivation of the generalized functional equations describing self-similar processes
• The stochastic heat equation with fractional-colored noise: existence of the solution
• Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
• Additive functionals of the solution to fractional stochastic heat equation
• The fBm-driven Ornstein-Uhlenbeck process: probability density function and anomalous diffusion

Cited In (8)

• Mixed stochastic heat equation with fractional Laplacian and gradient perturbation
• Pricing of perpetual American put option with sub-mixed fractional Brownian motion
• Recent developments on stochastic heat equation with additive fractional-colored noise
• Non-linear noise excitation for some space-time fractional stochastic equations in bounded domains
• On the Lamperti transform of the fractional Brownian sheet
• Stochastic heat equation with piecewise constant coefficients and generalized fractional type noise
• SPDE with generalized drift and fractional-type noise
• Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise

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