Itô type stochastic differential equations driven by fractional Brownian motions of Hurst parameter H>1/2

DOI10.1080/17442508.2017.1415342MaRDI QIDQ5086444zbMATH OpenOpenAlexFDO

Authors Yaozhong Hu

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1610.01137

zbMATH Keywords

differential equationfractional Brownian motionsglobal solutionMalliavin derivativeexistence and uniqueness of solutioncontraction principlemodified Picard iterationItô formulacharacteristic curve equationItô type stochasticItô type stochastic integrallinear and quasilinear equations

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: This paper studies the existence and uniqueness of solution of It^o type stochastic differential equation $dx(t)=b(t,x(t),om)dt+si(t,x(t),om)dB(t)$, where $B(t)$ is a fractional Brownian motion of Hurst parameter $H>1/2$ and $dB(t)$ is the It^o differential defined by using Wick product or divergence operator. The coefficients $b$ and $si$ are random and can be anticipative. Using the relationship between the It^o type and pathwise integrals we first write the equation as a stochastic differential equation involving pathwise integral plus a Malliavin derivative term. To handle this Malliavin derivative term the equation is then further reduced to a system of (two) equations without Malliavin derivative. The reduced system of equations are solved by a careful analysis of Picard iteration, with a new technique to replace the Gr"onwall lemma which is no longer applicable. The solution of this system of equations is then applied to solve the original It^o type stochastic differential equation up to a positive random time. In the special linear and quasilinear cases the global solutions are proved to exist uniquely.

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Cited in

(8)

• Existence and uniqueness of mild solution to fractional stochastic heat equation
• Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by \(H\)-valued fractional Brownian motion
• Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3
• Strong approximation for fractional wave equation forced by fractional Brownian motion with Hurst parameter \(H \in ( 0 , \frac{1}{2} )\)
• Nonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion
• Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter \(H> \frac12\)
• Wong-Zakai approximations for quasilinear systems of Itô's type stochastic differential equations
• Wong–Zakai approximations for quasilinear systems of Itô's-type stochastic differential equations driven by fBm with H > 1 2

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