Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in (0,1/2)
From MaRDI portal
(Redirected from Publication:653654)
Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\)
Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\)
fractional Brownian motionbackward doubly stochastic differential equationextended divergence operatorfractional SPDE
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)
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.
Recommendations
- Fractional backward doubly stochastic differential equations with jumps and the related SIPDEs
- Nonlinear fractional stochastic PDEs and BDSDEs with Hurst parameter in (1/2,1)
- Generalized BSDEs driven by fractional Brownian motion
- Semilinear fractional stochastic differential equations
- Anticipative backward stochastic differential equations driven by fractional Brownian motion
Cites work
- scientific article; zbMATH DE number 140601 (Why is no real title available?)
- scientific article; zbMATH DE number 1121855 (Why is no real title available?)
- scientific article; zbMATH DE number 4000260 (Why is no real title available?)
- scientific article; zbMATH DE number 2096685 (Why is no real title available?)
- scientific article; zbMATH DE number 782652 (Why is no real title available?)
- Adapted solution of a backward stochastic differential equation
- An extension of the divergence operator for Gaussian processes
- Anticipative Girsanov transformations and Skorohod stochastic differential equations
- Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
- Backward Stochastic Differential Equations in Finance
- Backward doubly stochastic differential equations and systems of quasilinear SPDEs
- Backward stochastic differential equation driven by fractional Brownian motion
- Explicit solutions of a class of linear fractional BSDEs
- Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2
- Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Stochastic calculus for fractional Brownian motion and related processes.
- Stochastic differential equations driven by fractional Brownian motions
- Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
- Stochastic viscosity solutions for nonlinear stochastic partial differential equations. I
- The Malliavin Calculus and Related Topics
- User’s guide to viscosity solutions of second order partial differential equations
Cited in
(7)- Mean-field SDE driven by a fractional Brownian motion and related stochastic control problem
- Nonlinear fractional stochastic PDEs and BDSDEs with Hurst parameter in (1/2,1)
- BSDEs generated by fractional space-time noise and related SPDEs
- Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion
- Fractional backward doubly stochastic differential equations with jumps and the related SIPDEs
- Nonlinear Feynman--Kac formulas for Stochastic Partial Differential Equations with Space-Time Noise
- Generalized BSDEs driven by fractional Brownian motion
This page was built for publication: Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\)
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q653654)
