Related papers: Fractional White Noise Perturbations of Parabolic …
Consider the non-linear stochastic fractional-diffusion equation \begin{eqnarray*} \left \{\begin{array}{lll} \frac{\partial}{\partial t}u(x,t)= -( \Delta)^{\alpha/2} u^m(x,t) + \sigma(u(x,t)) \dot{W}(x,t),\, x\in \mathbb{R}^d,t>0, u(x,0)=…
We investigate the fractional Hardy-H\'enon equation with fractional Brownian noise $$ \partial_tu(t)+(-\Delta)^{\theta/2} u(t)=|x|^{-\gamma} |u(t)|^{p-1}u(t)+\mu \, \partial_t B^H(t), $$ where $\theta>0$, $p>1$, $\gamma\geq 0$, $\mu…
We study a class of Tricomi-type partial differential equations previously investigated in [28]. Firstly, we generalize the representation formula for the solution obtained there by allowing the coefficient in front of the second-order…
We define and study a fractional Gaussian field $X$ with Hurst parameter $H$ on the Sierpi\'nski gasket $K$ equipped with its Hausdorff measure $\mu$. It appears as a solution, in a weak sense, of the equation $(-\Delta)^s X =W$ where $W$…
The influence of small random perturbations on a deterministic dynamical system with a locally stable equilibrium is considered. The perturbed system is described by the It\^{o} stochastic differential equation. It is assumed that the noise…
In this paper we consider stochastic differential equations with non-negativity constraints, driven by a fractional Brownian motion with Hurst parameter $H>\1/2$. We first study an ordinary integral equation where the integral is defined in…
In this paper we prove, for small Hurst parameters, the higher order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive multi-dimensional fractional Brownian noise, where the…
We discuss the link between uncorrelated noise and Hurst exponent for one and two-dimensional interfaces. We show that long range correlations cannot be observed using one-dimensional cuts through two-dimensional self-affine surfaces whose…
We consider the Cauchy problem for a stochastic scalar parabolic-hyperbolic equation in any space dimension with nonlocal, nonlinear, and possibly degenerate diffusion terms. The equations are nonlocal because they involve fractional…
We pursue the investigations initiated in [Aur{\'e}lien Deya: A non-linear wave equation with fractional perturbation (2017)] about a wave-equation model with quadratic perturbation and stochastic forcing given by a space-time fractional…
We study parameter estimation problem for diagonalizable stochastic partial differential equations driven by a multiplicative fractional noise with any Hurst parameter $H\in(0,1)$. Two classes of estimators are investigated: traditional…
We analyze the generalized $k$-variations for the solution to the wave equation driven by an additive Gaussian noise which behaves as a fractional Brownian with Hurst parameter $H>\frac{1}{2}$ in time and which is white in space. The…
The paper is concerned with spatial and time regularity of solutions to linear stochastic evolution equation perturbed by L\'evy white noise "obtained by subordination of a Gaussian white noise". Sufficient conditions for spatial continuity…
In $\R^d$, for any dimension $d\geq 1$, expansions of self-intersection local times of fractional Brownian motions with arbitrary Hurst coefficients in $(0,1)$ are presented. The expansions are in terms of Wick powers of white noises…
We study a least square-type estimator for an unknown parameter in the drift coefficient of a stochastic differential equation with additive fractional noise of Hurst parameter H>1/2. The estimator is based on discrete time observations of…
In this paper, we consider semilinear stochastic fractional heat equation $\frac{\partial}{\partial t}u_{\beta,t}(x)=\triangle^{\alpha/2}u_{\beta,t}(x)+\sigma(u_{\beta,t}(x))\eta_{\beta}$. The Gaussian noise $\eta_{\beta}$ is assumed to be…
The stochastic time-fractional equation $\partial_t \psi -\Delta\partial_t^{1-\alpha} \psi = f + \dot W$ with space-time white noise $\dot W$ is discretized in time by a backward-Euler convolution quadrature for which the sharp-order error…
In this article, we study a numerical scheme for stochastic differential equations driven by fractional Brownian motion with Hurst parameter H in (1/4; 1/2). Towards this end, we apply Doss-Sussmann representation of the solution and an…
In a previous paper, we studied the ergodic properties of an Euler scheme of a stochastic differential equation with a Gaussian additive noise in order to approximate the stationary regime of such equation. We now consider the case of…
This paper analyzes the discretization of a Neumann boundary control problem with a stochastic parabolic equation, where an additive noise occurs in the Neumann boundary condition. The convergence is established for general filtrations, and…