A parabolic stochastic differential equation with fractional Brownian motion input

被引：66
|
作者：
Grecksch, W
Anh, VV
机构：
[1] Univ Halle Wittenberg, Fac Math & Informat, D-06099 Halle, Germany
[2] Queensland Univ Technol, Ctr Stat Sci & Ind Math, Brisbane, Qld 4001, Australia
来源：
STATISTICS & PROBABILITY LETTERS | 1999年 / 41卷 / 04期
关键词：
fractional Brownian motion; rigged Hilbert spaces; stochastic evolution equation;
D O I：
10.1016/S0167-7152(98)00147-3
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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. (C) 1999 Published by Elsevier Science B.V. All rights reserved.
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页码：337 / 346
页数：10
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