Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach

被引：0

作者：

Caibin Zeng

Qigui Yang

Yang Quan Chen

机构：

[1] South China University of Technology,School of Sciences

[2] Utah State University,Center for Self

来源：

Nonlinear Dynamics | 2012年 / 67卷

关键词：

Stochastic differential equation; Fractional Brownian motion; Reducibility; Itô formula;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

This paper presents some sufficient and necessary conditions for reducing the nonlinear stochastic differential equations (SDEs) with fractional Brownian motion (fBm) to the linear SDEs. The explicit solution of the reduced equation is computed by its integral equation or the variation of parameters technique. Two illustrative examples are provided to demonstrate the applicability of the proposed approach.

引用

下载

页码：2719 / 2726

页数：7

共 50 条

[1] Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach
Zeng, Caibin
Yang, Qigui
Chen, Yang Quan
NONLINEAR DYNAMICS, 2012, 67 (04) : 2719 - 2726
[2] Comments on “Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach” [Nonlinear Dyn. 67, 2719–2726 (2012)]
Khosro Khandani
Vahid Johari Majd
Mahdieh Tahmasebi
Nonlinear Dynamics, 2015, 82 : 1605 - 1607
[3] Comments on "Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach" [Nonlinear Dyn. 67, 2719-2726 (2012)]
Khandani, Khosro
Majd, Vahid Johari
Tahmasebi, Mahdieh
NONLINEAR DYNAMICS, 2015, 82 (03) : 1605 - 1607
[4] Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion
Heydari, M. H.
Mahmoudi, M. R.
Shakiba, A.
Avazzadeh, Z.
COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION, 2018, 64 : 98 - 121
[5] Simulating variable-order fractional Brownian motion and solving nonlinear stochastic differential equations
Samadyar, Nasrin
Ordokhani, Yadollah
MATHEMATICAL METHODS IN THE APPLIED SCIENCES, 2024, 47 (11) : 8471 - 8489
[6] Stochastic differential equations driven by fractional Brownian motion and standard Brownian motion
Guerra, Joao
Nualart, David
STOCHASTIC ANALYSIS AND APPLICATIONS, 2008, 26 (05) : 1053 - 1075
[7] Stochastic differential equations driven by fractional Brownian motion
Xu, Liping
Luo, Jiaowan
STATISTICS & PROBABILITY LETTERS, 2018, 142 : 102 - 108
[8] Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion
Pei, Bin
Xu, Yong
Wu, Jiang-Lun
APPLIED MATHEMATICS LETTERS, 2020, 100
[9] Impulsive stochastic fractional differential equations driven by fractional Brownian motion
Abouagwa, Mahmoud
Cheng, Feifei
Li, Ji
ADVANCES IN DIFFERENCE EQUATIONS, 2020, 2020 (01)
[10] Nonlocal fractional stochastic differential equations driven by fractional Brownian motion
Jingyun Lv
Xiaoyuan Yang
Advances in Difference Equations, 2017

← 1 2 3 4 5 →