Stochastic affine evolution equations with multiplicative fractional noise

Bohdan Maslowski; J. Šnupárková

Applications of Mathematics (2018)

  • Volume: 63, Issue: 1, page 7-35
  • ISSN: 0862-7940

Abstract

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A stochastic affine evolution equation with bilinear noise term is studied, where the driving process is a real-valued fractional Brownian motion with Hurst parameter greater than 1 / 2 . Stochastic integration is understood in the Skorokhod sense. The existence and uniqueness of weak solution is proved and some results on the large time dynamics are obtained.

How to cite

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Maslowski, Bohdan, and Šnupárková, J.. "Stochastic affine evolution equations with multiplicative fractional noise." Applications of Mathematics 63.1 (2018): 7-35. <http://eudml.org/doc/294566>.

@article{Maslowski2018,
abstract = {A stochastic affine evolution equation with bilinear noise term is studied, where the driving process is a real-valued fractional Brownian motion with Hurst parameter greater than $1/2$. Stochastic integration is understood in the Skorokhod sense. The existence and uniqueness of weak solution is proved and some results on the large time dynamics are obtained.},
author = {Maslowski, Bohdan, Šnupárková, J.},
journal = {Applications of Mathematics},
keywords = {geometric fractional Brownian motion; stochastic differential equations in Hilbert space; stochastic bilinear equation},
language = {eng},
number = {1},
pages = {7-35},
publisher = {Institute of Mathematics, Academy of Sciences of the Czech Republic},
title = {Stochastic affine evolution equations with multiplicative fractional noise},
url = {http://eudml.org/doc/294566},
volume = {63},
year = {2018},
}

TY - JOUR
AU - Maslowski, Bohdan
AU - Šnupárková, J.
TI - Stochastic affine evolution equations with multiplicative fractional noise
JO - Applications of Mathematics
PY - 2018
PB - Institute of Mathematics, Academy of Sciences of the Czech Republic
VL - 63
IS - 1
SP - 7
EP - 35
AB - A stochastic affine evolution equation with bilinear noise term is studied, where the driving process is a real-valued fractional Brownian motion with Hurst parameter greater than $1/2$. Stochastic integration is understood in the Skorokhod sense. The existence and uniqueness of weak solution is proved and some results on the large time dynamics are obtained.
LA - eng
KW - geometric fractional Brownian motion; stochastic differential equations in Hilbert space; stochastic bilinear equation
UR - http://eudml.org/doc/294566
ER -

References

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