Functional differential equations driven by a fractional Brownian motion

DOI10.1016/J.CAMWA.2011.05.055zbMATH Open1228.60064OpenAlexW2050974528MaRDI QIDQ651554FDOQ651554

Authors: Brahim Boufoussi, Salah Hajji 

Publication date: 18 December 2011

Published in: Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2011.05.055

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zbMATH Keywords

fractional Brownian motionstochastic functional differential equationfractional integrals and derivatives

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Linear functional-differential equations (34K06)

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Cited In (59)

• Ergodicity of stochastic differential equations driven by fractional Brownian motion
• Nontrivial equilibrium solutions and general stability for stochastic evolution equations with pantograph delay and tempered fractional noise
• Neutral stochastic partial differential equations with delay driven by Rosenblatt process in a Hilbert space
• Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises
• A note on the generation of random dynamical systems from fractional stochastic delay differential equations
• Bismut formulas and applications for stochastic (functional) differential equations driven by fractional Brownian motions
• Young differential delay equations driven by Hölder continuous paths
• Stochastic Volterra equations driven by fractional Brownian motion with Hurst parameter \(H>1/2\)
• Existence and measurability of the solution of the stochastic differential equations driven by fractional Brownian motion
• Viability for differential equations driven by fractional Brownian motion
• Viability for stochastic functional differential equations in Hilbert spaces driven by fractional Brownian motion
• Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
• Stability of delayed impulsive stochastic differential equations driven by a fractional Brown motion with time-varying delay
• Exponential stability for stochastic neutral functional differential equations driven by Rosenblatt process with delay and Poisson jumps
• Trajectory control and \(p\)th moment exponential stability of neutral functional stochastic systems driven by Rosenblatt process
• Convergence of solutions of mixed stochastic delay differential equations with applications
• Neutral stochastic functional differential equations driven by a fractional Brownian motion in a Hilbert space
• Stochastic differential equations driven by fractional Brownian motion
• Asymptotical stability of differential equations driven by Hölder continuous paths
• The existence and exponential behavior of solutions to stochastic delay evolution equations with a fractional Brownian motion
• Neutral stochastic integrodifferential equations driven by a fractional Brownian motion with impulsive effects and time-varying delays
• A note on exponential stability of non-autonomous linear stochastic differential delay equations driven by a fractional Brownian motion with Hurst index \(> \frac{1}{2}\)
• A nonlinear stochastic differential equation driven by a fractional Brownian motion
• Shift Harnack inequality and integration by parts formula for functional SDEs driven by fractional Brownian motion
• Stochastic Volterra integro-differential equations driven by fractional Brownian motion in a Hilbert space
• Stochastic functional differential equation with infinite memory driven by a fractional Brownian motion with Hurst parameter \(H>1/2\)
• Itô type stochastic differential equations driven by fractional Brownian motions of Hurst parameter \(H>1/2\)
• EXISTENCE OF STRONG SOLUTIONS AND UNIQUENESS IN LAW FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION
• Flow properties of differential equations driven by fractional Brownian motion
• Neutral stochastic differential equations driven by a fractional Brownian motion with impulsive effects and varying-time delays
• Viability for stochastic functional differential equations with infinite memory driven by a fractional Brownian motion
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• Asymptotic behaviour of mild solution of nonlinear stochastic partial functional equations
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• Global uniqueness result for functional differential equations driven by a Wiener process and fractional Brownian motion
• Title not available (Why is that?)
• Regularization of differential equations by fractional noise.
• Onsager-Machlup functional for the fractional Brownian motion
• Exponential stability for neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion
• Mixed stochastic delay differential equations
• Exponential stability behavior of neutral stochastic integrodifferential equations with fractional Brownian motion and impulsive effects
• Stability for some impulsive neutral stochastic functional integro-differential equations driven by fractional Brownian motion
• Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts
• Controllability of stochastic impulsive neutral functional differential equations driven by fractional Brownian motion with infinite delay
• Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: results and perspectives
• Existence, Uniqueness and Stability of Impulsive Stochastic Partial Neutral Functional Differential Equations with Infinite Delays Driven by a Fractional Brownian Motion
• Title not available (Why is that?)
• Existence and exponential stability for neutral stochastic integrodifferential equations with impulses driven by a fractional Brownian motion
• Attracting and quasi-invariant sets of neutral stochastic integro-differential equations with impulses driven by fractional Brownian motion
• Rate of convergence to equilibrium of fractional driven stochastic differential equations with rough multiplicative noise
• Title not available (Why is that?)
• A time fractional functional differential equation driven by the fractional Brownian motion
• Impulsive fractional stochastic differential inclusions driven by sub-fractional Brownian motion with infinite delay and sectorial operators
• Retarded evolution systems driven by fractional Brownian motion with Hurst parameter \(H>1/2\)

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