Some differential systems driven by a fBm with Hurst parameter greater than 1/4

DOI10.1007/978-3-642-29982-7_8MaRDI QIDQ5261213zbMATH OpenOpenAlexFDO

Authors S. Tindel, Iván Torrecilla

Publication date 2 July 2015

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0901.2010

zbMATH Keywords

fractional Brownian motionrough paths theorystochastic delay equations

Mathematics Subject Classification ID

Gaussian processes (60G15) 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) Stochastic functional-differential equations (34K50) Stochastic integrals (60H05)

Abstract: This note is devoted to show how to push forward the algebraic integration setting in order to treat differential systems driven by a noisy input with H"older regularity greater than 1/4. After recalling how to treat the case of ordinary stochastic differential equations, we mainly focus on the case of delay equations. A careful analysis is then performed in order to show that a fractional Brownian motion with Hurst parameter H>1/4 fulfills the assumptions of our abstract theorems.

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Cited in

(3)

• Delay equations with non-negativity constraints driven by a Hölder continuous function of order \(\beta\in\left(\frac{1}{3},\frac{1}{2}\right)\)
• Non-linear rough heat equations
• Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion

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