Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2

DOI10.1080/07362990601052052zbMATH Open1108.60059arXivmath/0603636OpenAlexW2110102611MaRDI QIDQ3423698FDOQ3423698

Authors: Jaime San Martín, Jorge A. Leon 

Publication date: 15 February 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Abstract: In this paper we use the chaos decomposition approach to establish the existence of a unique continuous solution to linear fractional differential equations of the Skorohod type. Here the coefficients are deterministic, the inital condition is anticipating and the underlying fractional Brownian motion has Hurst parameter less than 1/2. We provide an explicit expression for the chaos decomposition of the solution in order to show our results.

Full work available at URL: https://arxiv.org/abs/math/0603636

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zbMATH Keywords

fractional derivatives and integralschaotic representationdivergence operator for Gaussian processes

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integral equations (60H20)

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Cited In (18)

• Fractional Bilinear Stochastic Equations with the Drift in the First Fractional Chaos
• T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion
• EXISTENCE CRITERIA FOR SOLUTIONS OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH SKEW-SYMMETRIC DIFFERENTIAL OPERATOR AND ADDITIVE FRACTIONAL BROWNIAN NOISE
• Stabilization of delayed neutral semi-Markovian jumping stochastic systems driven by fractional Brownian motions: \(H_\infty\) control approach
• Title not available (Why is that?)
• Stochastic differential equations driven by fractional Brownian motions
• Non-linear rough heat equations
• A linear stochastic differential equation driven by a fractional Brownian motion with Hurst parameter
• Kolmogorov equation and large-time behaviour for fractional Brownian motion driven linear SDE's.
• Fractional stochastic differential equations with applications to finance
• \(H_\infty\) sampled-data control for uncertain fuzzy systems under Markovian jump and fBm
• Strong approximation for fractional wave equation forced by fractional Brownian motion with Hurst parameter \(H \in ( 0 , \frac{1}{2} )\)
• Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\)
• Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion
• Some linear fractional stochastic equations
• Stochastic heat equation with multiplicative fractional-colored noise
• Rough evolution equations
• Moment estimates for solutions of linear stochastic differential equations driven by analytic fractional Brownian motion

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