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- Title
Stochastic Affine Evolution Equations with Multiplicative Fractional Noise.
- Authors
Maslowski, Bohdan; Šnupárková, Jana
- Abstract
A stochastic affine evolution equation with bilinear noise term is studied, where the driving process is a real-valued fractional Brownian motion with Hurst parameter greater than 1/2. Stochastic integration is understood in the Skorokhod sense. The existence and uniqueness of weak solution is proved and some results on the large time dynamics are obtained.
- Subjects
STOCHASTIC processes; NUMERICAL solutions to evolution equations; FRACTIONAL calculus; BROWNIAN motion; PARAMETER estimation; UNIQUENESS (Mathematics); EXISTENCE theorems
- Publication
Applications of Mathematics, 2018, Vol 63, Issue 1, p7
- ISSN
0862-7940
- Publication type
Article
- DOI
10.21136/AM.2018.0036-17