Covariance measure and stochastic heat equation with fractional noise

DOI10.2478/S13540-014-0199-8MaRDI QIDQ2939461zbMATH OpenOpenAlexFDO

Authors Ciprian A. Tudor, Mounir Zili

Publication date 22 January 2015

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported

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

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)

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Cites work

• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 2096694 (Why is no real title available?)
• A decomposition of the bifractional Brownian motion and some applications
• Additive functionals of the solution to fractional stochastic heat equation
• Analysis of variations for self-similar processes. A stochastic calculus approach
• Extending martingale measure stochastic integral with applications to spatially homogeneous S. P. D. E's
• Integration with respect to fractal functions and stochastic calculus. I
• Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: continuous and discrete sampling
• Recent developments on stochastic heat equation with additive fractional-colored noise
• The derivation of the generalized functional equations describing self-similar processes
• The fBm-driven Ornstein-Uhlenbeck process: probability density function and anomalous diffusion
• The stochastic heat equation with fractional-colored noise: existence of the solution
• Wiener integrals, Malliavin calculus and covariance measure structure

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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