Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter H> 12

zbMATH Open1102.60054MaRDI QIDQ850730FDOQ850730

Authors: Marco Ferrante, Carles Rovira 

Publication date: 6 November 2006

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1141136650

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Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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• Stochastic differential equations for fractional Brownian motions
• The law of the solution to a nonlinear hyperbolic SPDE
• Intégrale stochastique pour le mouvement brownien fractionnaire
• Title not available (Why is that?)

Cited In (49)

• Maximum principle for optimal control problem of stochastic delay differential equations driven by fractional Brownian motions
• Optimal approximation of SDE's with additive fractional noise
• Mean-square dissipative methods for stochastic age-dependent capital system with fractional Brownian motion and jumps
• 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
• Bismut formulas and applications for stochastic (functional) differential equations driven by fractional Brownian motions
• Delay equations with non-negativity constraints driven by a Hölder continuous function of order \(\beta\in\left(\frac{1}{3},\frac{1}{2}\right)\)
• Mean-field anticipated BSDEs driven by fractional Brownian motion and related stochastic control problem
• Stochastic delay differential equations in a Hilbert space driven by fractional Brownian motion
• Viability for stochastic functional differential equations in Hilbert spaces driven by fractional Brownian motion
• Paracontrolled distribution approach to stochastic Volterra equations
• On some fractional stochastic delay differential equations
• Existence and uniqueness of mild solutions to neutral impulsive fractional stochastic delay differential equations driven by both Brownian motion and fractional Brownian motion
• Stability of delayed impulsive stochastic differential equations driven by a fractional Brown motion with time-varying delay
• Global attracting sets of neutral stochastic functional integro-differential equations driven by a fractional Brownian motion
• Exponential stability for stochastic neutral functional differential equations driven by Rosenblatt process with delay and Poisson jumps
• Convergence of delay differential equations driven by fractional Brownian motion
• 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
• Neutral delay Hilfer fractional integrodifferential equations with fractional Brownian motion
• Solvability and stability for neutral stochastic integro-differential equations driven by fractional Brownian motion with impulses
• The existence and exponential behavior of solutions to stochastic delay evolution equations with a fractional Brownian motion
• Zero delay convergence of the solution to a singular stochastic delay differential equation driven by fractional Brownian motion
• Stochastic delay equations with non-negativity constraints driven by fractional Brownian motion
• Functional differential equations driven by a fractional Brownian motion
• Neutral stochastic integrodifferential equations driven by a fractional Brownian motion with impulsive effects and time-varying delays
• The transport equation and zero quadratic variation processes
• Malliavin calculus for fractional delay equations
• A note on exponential stability of non-autonomous linear stochastic differential delay equations driven by a fractional Brownian motion with Hurst index \(> \frac{1}{2}\)
• Some differential systems driven by a fBm with Hurst parameter greater than \(1/4\)
• Exponential stability of fractional stochastic differential equations with distributed delay
• Stochastic functional differential equation with infinite memory driven by a fractional Brownian motion with Hurst parameter \(H>1/2\)
• Euler scheme for fractional delay stochastic differential equations by rough paths techniques
• Exponential behavior and upper noise excitation index of solutions to evolution equations with unbounded delay and tempered fractional Brownian motions
• 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
• Functional differential equations in Hilbert spaces driven by a fractional Brownian motion
• Mixed stochastic delay differential equations
• Exponential stability behavior of neutral stochastic integrodifferential equations with fractional Brownian motion and impulsive effects
• The existence of a positive solution for a generalized delay logistic equation with multifractional noise
• Stochastic differential equations with nonnegativity constraints driven by fractional Brownian motion
• Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts
• Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3
• Boundary controllability of nonlocal Hilfer fractional stochastic differential systems with fractional Brownian motion and Poisson jumps
• 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
• Mean-square stability analysis of stochastic delay evolution equations driven by fractional Brownian motion with Hurst index \(H\in(0,1) \)
• A time fractional functional differential equation driven by the fractional Brownian motion
• Retarded evolution systems driven by fractional Brownian motion with Hurst parameter \(H>1/2\)

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