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We investigate the pathwise well-posedness of stochastic evolution equations perturbed by multiplicative Neumann boundary noise, such as fractional Brownian motion for $H\in(1/3,1/2]$. Combining the controlled rough path approach with the…
We study a stochastic boundary value problem on $(0,1)^d$ of elliptic type in dimension $d\ge 4$, driven by a coloured noise. An approximation scheme based on a suitable discretization of the Laplacian on a lattice of $(0,1)^d$ is…
The problem of nonlinear filtering of a random field observed in the presence of a noise, modeled by a persistent fractional Brownian sheet of Hurst index $(H_1,H_2)$ with $0.5<H_1,H_2<1$, is studied and a suitable version of the Bayes'…
In this paper, we focus on the mean-field backward stochastic differential equations (BSDEs) driven by a fractional Brownian motion with Hurst parameter H greater then 1/2. First, the existence and uniqueness of these equations are…
Our first result is a stochastic sewing lemma with quantitative estimates for mild incremental processes, with which we study SPDEs driven by fractional Brownian motions in a random environment. We obtain uniform $L^p$-bounds. Our second…
We approximate the solution of some linear systems of SDEs driven by a fractional Brownian motion $B^H$ with Hurst parameter $H\in(\frac{1}{2},1)$ in the Wick--It\^{o} sense, including a geometric fractional Brownian motion. To this end, we…
In this note we prove an existence and uniqueness result of solution for stochastic differential delay equations with hereditary drift driven by a fractional Brownian motion with Hurst parameter $H > 1/2$. Then, we show that, when the delay…
This paper is devoted to a system of stochastic partial differential equations (SPDEs) that have a slow component driven by fractional Brownian motion (fBm) with the Hurst parameter $H >1/2$ and a fast component driven by fast-varying…
In this paper we study a stochastic differential equation driven by a fractional Brownian motion with a discontinuous coefficient. We also give an approximation to the solution of the equation. This is a first step to define a fractional…
This paper is concerned with the backward stochastic differential equations whose generator is a weighted fractional Brownian field: $Y_t=\xi+\int_t^T Y_s W (ds,B_s) -\int_t^T Z_sdB_s$, $0\le t\le T$, where $W$ is a $(d+1)$-parameter…
We study the ergodic properties of finite-dimensional systems of SDEs driven by non-degenerate additive fractional Brownian motion with arbitrary Hurst parameter $H\in(0,1)$. A general framework is constructed to make precise the notions of…
This article is devoted to the existence and uniqueness of pathwise solutions to stochastic evolution equations, driven by a H\"older continuous function with H\"older exponent in $(1/2,1)$, and with nontrivial multiplicative noise. As a…
We study the existence of a unique solution to semilinear fractional backward doubly stochastic differential equation driven by a Brownian motion and a fractional Brownian motion with Hurst parameter less than 1/2. Here the stochastic…
In this paper, we study the existence and (H\"older) regularity of local times of stochastic differential equations driven by fractional Brownian motions. In particular, we show that in one dimension and in the rough case H<1/2, the…
In this article, we consider fractional stochastic wave equations on $\mathbb R$ driven by a multiplicative Gaussian noise which is white/colored in time and has the covariance of a fractional Brownian motion with Hurst parameter…
We consider a geometric rough path associated with a fractional Brownian motion with Hurst parameter $H\in]{1/4}, {1/2}[$. We give an approximation result in a modulus type distance, up to the second order, by means of a sequence of rough…
We study well-posedness of sweeping processes with stochastic perturbations generated by a fractional Brownian motion and convergence of associated numerical schemes. To this end, we first prove new existence, uniqueness and approximation…
We study stochastic partial differential equations (SPDEs) with potentially very rough fractional noise with Hurst parameter $H\in(0,1)$. Close to a change of stability measured with a small parameter $\varepsilon$, we rely on the natural…
Let H be a Hilbert space and E a Banach space. We set up a theory of stochastic integration of L(H,E)-valued functions with respect to H-cylindrical Liouville fractional Brownian motions (fBm) with arbitrary Hurst parameter in the interval…
In this paper, we study the problem of Poisson stability of solutions for stochastic semi-linear evolution equation driven by fractional Brownian motion \mathrm{d} X(t)= \left( AX(t) + f(t, X(t)) \right) \mathrm{d}t + g\left(t,…