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

DOI10.1016/J.BULSCI.2011.06.003zbMATH Open1242.60066arXiv1005.2017OpenAlexW2963235191MaRDI QIDQ653654FDOQ653654

Authors: Shuai Jing, Jorge A. Leon 

Publication date: 19 December 2011

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

Abstract: We study the existence of a unique solution to semilinear fractional backward doubly stochastic differential equation driven by a Brownian motion and a fractional Brownian motion with Hurst parameter less than 1/2. Here the stochastic integral with respect to the fractional Brownian motion is the extended divergence operator and the one with respect to Brownian motion is It^o's backward integral. For this we use the technique developed by R.Buckdahn to analyze stochastic differential equations on the Wiener space, which is based on the Girsanov theorem and the Malliavin calculus, and we reduce the backward doubly stochastic differential equation to a backward stochastic differential equation driven by the Brownian motion. We also prove that the solution of semilinear fractional backward doubly stochastic differential equation defines the unique stochastic viscosity solution of a semilinear stochastic partial differential equation driven by a fractional Brownian motion.

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

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zbMATH Keywords

fractional Brownian motionbackward doubly stochastic differential equationextended divergence operatorfractional SPDE

Mathematics Subject Classification ID

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

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Cited In (7)

• 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)
• Fractional backward doubly stochastic differential equations with jumps and the related SIPDEs
• 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
• Generalized BSDEs driven by fractional Brownian motion

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