期刊
NONLINEAR DYNAMICS
卷 67, 期 4, 页码 2719-2726出版社
SPRINGER
DOI: 10.1007/s11071-011-0183-3
关键词
Stochastic differential equation; Fractional Brownian motion; Reducibility; Ito formula
资金
- National Natural Science Foundation of China [10871074, 61104138]
- Guangdong Natural Science Foundation [S2011040001704]
- Foundation for Distinguished Young Talents in Higher Education of Guangdong, China [LYM10074]
- China Scholarship Council
This paper presents some sufficient and necessary conditions for reducing the nonlinear stochastic differential equations (SDEs) with fractional Brownian motion (fBm) to the linear SDEs. The explicit solution of the reduced equation is computed by its integral equation or the variation of parameters technique. Two illustrative examples are provided to demonstrate the applicability of the proposed approach.
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