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

DOI10.1080/07362994.2023.2192267MaRDI QIDQ6131967OpenAlexFDO

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

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)

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• 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

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