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

DOI10.1080/17442508.2017.1415342zbMATH Open1498.60215arXiv1610.01137OpenAlexW2963196323MaRDI QIDQ5086444FDOQ5086444

Authors: Yaozhong Hu 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

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are solved by a careful analysis of Picard iteration, with a new technique to replace the Gr"onwall lemma which is no longer applicable.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.

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

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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)

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Cited In (8)

• Wong-Zakai approximations for quasilinear systems of Itô's type stochastic differential equations
• Existence and uniqueness of mild solution to fractional stochastic heat equation
• Strong approximation for fractional wave equation forced by fractional Brownian motion with Hurst parameter \(H \in ( 0 , \frac{1}{2} )\)
• 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 driven by fBm with H > 1 2
• 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
• Nonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion

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