STOCHASTIC INTEGRATION FOR FRACTIONAL BROWNIAN MOTION IN A HILBERT SPACE
From MaRDI portal
Publication:5468897
DOI10.1142/S0219493706001645zbMath1095.60017OpenAlexW1970943856MaRDI QIDQ5468897
Tyrone E. Duncan, Jacek Jakubowski, Bozenna Pasik-Duncan
Publication date: 3 May 2006
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219493706001645
Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)
Related Items (25)
Well-posedness of stochastic KdV-BO equation driven by fractional Brownian motion ⋮ Fractional stochastic Volterra equation perturbed by fractional Brownian motion ⋮ A stochastic calculus for Rosenblatt processes ⋮ Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise ⋮ Asymptotic behaviours of a stochastic delay equation driven by an fBm in Hilbert space ⋮ Controllability of semilinear neutral stochastic integrodifferential evolution systems with fractional Brownian motion ⋮ Cylindrical fractional Brownian motion in Banach spaces ⋮ Generalized fractional Lévy random fields on Gel'fand triple: a white noise approach ⋮ Stochastic elastic equation driven by multiplicative multi-parameter fractional noise ⋮ Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2 ⋮ Fractional Lévy processes on Gel'fand triple and stochastic integration ⋮ Containment control for multi-agent systems with fractional Brownian motion ⋮ Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion ⋮ Prediction for some processes related to a fractional Brownian motion ⋮ FRACTIONAL LÉVY PROCESSES AND NOISES ON GEL′FAND TRIPLE ⋮ Stochastic Burgers' equation driven by fractional Brownian motion ⋮ On Parabolic Volterra Equations Disturbed by Fractional Brownian Motions ⋮ Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market ⋮ Solutions of linear and semilinear distributed parameter equations with a fractional Brownian motion ⋮ Stochastic elastic equation driven by fractional Brownian motion ⋮ EXISTENCE CRITERIA FOR SOLUTIONS OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH SKEW-SYMMETRIC DIFFERENTIAL OPERATOR AND ADDITIVE FRACTIONAL BROWNIAN NOISE ⋮ Approximate controllability of stochastic equations in a Hilbert space with fractional Brownian motions ⋮ Fractional white noise perturbations of parabolic Volterra equations ⋮ Stochastic Korteweg-de Vries equation driven by fractional Brownian motion ⋮ Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions
Cites Work
- Itô's formula with respect to fractional Brownian motion and its application
- Stochastic calculus with anticipating integrands
- Stochastic analysis of the fractional Brownian motion
- A parabolic stochastic differential equation with fractional Brownian motion input
- The Skorohod integral in conuclear spaces
- Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise
- FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
- Stochastic analysis of fractional brownian motions
- Stochastic integration with respect to the fractional Brownian motion
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Fractional Brownian Motions, Fractional Noises and Applications
This page was built for publication: STOCHASTIC INTEGRATION FOR FRACTIONAL BROWNIAN MOTION IN A HILBERT SPACE
