A parabolic stochastic differential equation with fractional Brownian motion input

An existence and uniqueness theorem is proved for a quasilinear stochastic evolution equation with an additive noise in the form of a stochastic integral with respect to a Hilbert space-valued fractional Borwnian motion. Ideas of the finite-dimensional approximation by the Galerkin method are used.

MoreLess

Year of publication:	1999
Authors:	Grecksch, W. ; Anh, V. V.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 41.1999, 4, p. 337-346
Publisher:	Elsevier
Keywords:	Fractional Brownian motion Rigged Hilbert spaces Stochastic evolution equation

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005138136