Semilinear fractional stochastic differential equations driven by a γ-Hölder continuous signal with γ > 2/3
| Autor: | Jorge A. León, David Márquez-Carreras |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Fractional Brownian motion
Continuous function Mathematical analysis Hölder condition Equacions integrals Stochastic integral equations Signal Fractional calculus Equacions integrals estocàstiques Brownian motion processes Stochastic differential equation Processos de moviment brownià Modeling and Simulation Fractional differential Integral equations Mathematics |
| Zdroj: | Dipòsit Digital de la UB Universidad de Barcelona |
| ISSN: | 1793-6799 0219-4937 |
| DOI: | 10.1142/s0219493720500392 |
| Popis: | In this paper, we use the techniques of fractional calculus to study the existence of a unique solution to semilinear fractional differential equation driven by a [Formula: see text]-Hölder continuous function [Formula: see text] with [Formula: see text]. Here, the initial condition is a function that may not be defined at zero and the involved integral with respect to [Formula: see text] is the extension of the Young integral [An inequality of the Hölder type, connected with Stieltjes integration, Acta Math. 67 (1936) 251–282] given by Zähle [Integration with respect to fractal functions and stochastic calculus I, Probab. Theory Related Fields 111 (1998) 333–374]. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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