期刊
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
卷 115, 期 8, 页码 1357-1383出版社
ELSEVIER
DOI: 10.1016/j.spa.2005.03.011
关键词
fractional Brownian motion; stochastic differential equations in a Hilbert space; explicit solutions of linear stochastic differential equations; fractional Gaussian noise
In this paper, some explicit solutions are given for stochastic differential equations in a Hilbert space with a multiplicative fractional Gaussian noise. This noise is the formal derivative of a fractional Brownian motion with the Hurst parameter in the interval (1/2, 1). These solutions can be weak, strong or mild depending on the specific assumptions. The problem of stochastic stability of these equations is considered and for various notions of stability, sufficient conditions are given for stability. The noise may stabilize or destabilize the corresponding deterministic solutions. Various examples of stochastic partial differential equations are given that satisfy the assumptions for explicit solutions or stability. (c) 2005 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据