Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\)

DOI10.1016/j.bulsci.2011.06.003zbMath1242.60066arXiv1005.2017OpenAlexW2963235191MaRDI QIDQ653654

Shuai Jing, Jorge A. Leon

Publication date: 19 December 2011

Published in: Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.2017

zbMATH Keywords

fractional Brownian motionbackward doubly stochastic differential equationextended divergence operatorfractional SPDE

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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Mean-Field SDE Driven by a Fractional Brownian Motion and Related Stochastic Control Problem ⋮ BSDEs generated by fractional space-time noise and related SPDEs ⋮ Nonlinear fractional stochastic PDEs and BDSDEs with Hurst parameter in (1/2,1) ⋮ Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion ⋮ Nonlinear Feynman--Kac formulas for Stochastic Partial Differential Equations with Space-Time Noise

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