Stochastic calculus for tempered fractional Brownian motion and stability for SDEs driven by TFBM

DOI10.1080/07362994.2023.2192267OpenAlexW4365149748MaRDI QIDQ6131967FDOQ6131967

Authors: Lijuan Zhang, Yejuan Wang, Yaozhong Hu 

Publication date: 18 April 2024

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

Full work available at URL: https://doi.org/10.1080/07362994.2023.2192267

Recommendations

• Feynman-Kac formula for tempered fractional general diffusion equations driven by TFBM
• Stochastic integration for tempered fractional Brownian motion
• T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion
• Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
• Feynman-Kac formula for general diffusion equations driven by TFBM with Hurst index \(H \in (0,1)\)

zbMATH Keywords

Malliavin calculusstochastic differential equationWick productgeneral decaystochastic stabilitystochastic integraltempered fractional Brownian motionItô formula

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (2)

• Feynman-Kac formula for general diffusion equations driven by TFBM with Hurst index \(H \in (0,1)\)
• Feynman-Kac formula for tempered fractional general diffusion equations driven by TFBM

This page was built for publication: Stochastic calculus for tempered fractional Brownian motion and stability for SDEs driven by TFBM

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6131967)