A parabolic stochastic differential equation with fractional Brownian motion input

Statistics and Probability Letters

Volumn 41, Issue 4, 1999, Pages 337-346

  Grecksch, W ^a   Anh, V V ^b  

^a MARTIN LUTHER UNIVERSITY HALLE WITTENBERG   (Germany)

^b QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

Author keywords

Fractional Brownian motion; Rigged Hilbert spaces; Stochastic evolution equation

Indexed keywords

EID: 0033556963     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0167-7152(98)00147-3     Document Type: Article

References (8)

1. Da Prato, G., Zabszyk, J., 1992. Stochastic Equations in Infinite Dimensions. Cambridge University Press, Cambridge.
2. Grecksch, W., Tudor, C., 1995. Stochastic evolution equations. Mathematical Research, vol. 85, Akademie Verlag, Berlin.
3. Kleptsyna, M.L., Kloeden, P.E., Anh, V.V., 1998. Existence and uniqueness theorems for fBm stochastic differential equations. J. Inform. Transmission Problems 3.
4. Krylov, N.V., Rozovskij, B.L., 1979. On stochastic evolution equations. Itogi Nauki I Techniki, Serija Sov Rem En Nych Problemy Matematiki, 14, VINITI, Moskva, pp. 71-146 (in Russian).
5. Lin, S.J., 1995. Stochastic analysis of fractional Brownian motions. Stochastics Stochastics Rep. 55, 121-140.
6. Mandelbrot, B.B., van Ness, J.W., 1968. Fractional Brownian motions, fractional noises and applications. SIAM Rev. 10, 422-437.
7. Peters, E.E., 1994. Fractal Market Analysis. Wiley, New York.
8. Zeidler, E., 1990. Nonlinear functional analysis and its applications II/B. Nonlinear Monotone Operators. Springer, New York.