Local pathwise solutions to stochastic evolution equations driven by fractional Brownian motions with Hurst parameters $H\in (1/3,1/2]$
Abstract
In this article we are concerned with the study of the existence and uniqueness of pathwise mild solutions to evolutions equations driven by a H\"older continuous function with H\"older exponent in . Our stochastic integral is a generalization of the well-known Young integral. To be more precise, the integral is defined by using a fractional integration by parts formula and it involves a tensor for which we need to formulate a new equation. From this it turns out that we have to solve a system consisting in a path and an area equations. In this paper we prove the existence of a unique local solution of the system of equations. The results can be applied to stochastic evolution equations with a non-linear diffusion coefficient driven by a fractional Brownian motion with Hurst parameter in , which is particular includes white noise.
Keywords
Cite
@article{arxiv.1411.5237,
title = {Local pathwise solutions to stochastic evolution equations driven by fractional Brownian motions with Hurst parameters $H\in (1/3,1/2]$},
author = {María J. Garrido-Atienza and Kening Lu and Björn Schmalfuss},
journal= {arXiv preprint arXiv:1411.5237},
year = {2016}
}
Comments
30 pages. arXiv admin note: text overlap with arXiv:1205.6735