Related papers: Mixed fractional stochastic differential equations…
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic differential equation driven by a fractional Brownian motion. For such process we specify mean and…
In this work, we prove a version of H\"{o}rmander's theorem for a stochastic evolution equation driven by a trace-class fractional Brownian motion with Hurst exponent $\frac{1}{2} < H < 1$ and an analytic semigroup on a given separable…
Consider the fractional Brownian Motion (fBM) $B^H=\{B^H(t): t \in [0,1] \}$ with Hurst index $H\in (0,1)$. We construct a probability space supporting both $B^H$ and a fully simulatable process $\hat B_{\epsilon}^H $ such that $$\sup_{t\in…
This is a review of statistical inference methodology for stochastic differential equations driven by fractional Brownian motion, otherwise called fractional diffusions. The first section reviews the theory needed to rigorously define them.…
This work is concerned with existence of weak solutions to discon- tinuous stochastic differential equations driven by multiplicative Gaus- sian noise and sliding mode control dynamics generated by stochastic differential equations with…
We consider a system of multiscale stochastic differential equations whose slow component is drivenby a fractional Brownian motion with Hurst parameter H greater than 1/2. Under ergodic assumptions ensuring the applicability of the…
Fractional Brownian motion is a generalised Gaussian diffusive process that is found to describe numerous stochastic phenomena in physics and biology. Here we introduce a multi-dimensional fractional Brownian motion (FBM) defined as a…
It is shown that under a certain condition on a semimartingale and a time-change, any stochastic integral driven by the time-changed semimartingale is a time-changed stochastic integral driven by the original semimartingale. As a direct…
We find an explicit expression for the cross-covariance between stochastic integral processes with respect to a $d$-dimensional fractional Brownian motion (fBm) $B_t$ with Hurst parameter $H>1/2$, where the integrands are vector fields…
The rate of strong convergence is investigated for an approximation scheme for a class of stochastic differential equations driven by a time-changed Brownian motion, where the random time changes $(E_t)_{t\ge 0}$ considered include the…
We develop a Fluctuating Immersed Boundary (FIB) method for performing Brownian dynamics simulations of confined particle suspensions. Unlike traditional methods which employ analytical Green's functions for Stokes flow in the confined…
The fractional Brownian motion (fBm) extends the standard Brownian motion by introducing some dependence between non-overlapping increments. Consequently, if one considers for example that log-prices follow an fBm, one can exploit the…
In this paper, we study a class of multi-dimensional reflected backward stochastic differential equations when the noise is driven by a Brownian motion and an independent Poisson point process, and when the solution is forced to stay in a…
This paper begins by giving an historical context to fractional Brownian Motion and its development. Section 2 then introduces the fractional calculus, from the Riemann-Liouville perspective. In Section 3, we introduce Brownian motion and…
In this article we propose a model for stochastic delay differential equation with jumps (SDDEJ) in a differentiable manifold $M$ endowed with a connection $\nabla$. In our model, the continuous part is driven by vector fields with a fixed…
We present new exact expressions for a class of moments for the geometric Brownian motion, in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a Ito's Wiener process. We then apply the…
A non-linear differential equation arising from a stochastic process known as branching Brownian motion is considered. We find an explicit solution and show the uniqueness of the solution under some boundedness conditions using…
A stochastic partial differential equation (SPDE) is derived for super-Brownian motion regarded as a distribution function valued process. The strong uniqueness for the solution to this SPDE is obtained by an extended Yamada-Watanabe…
We study small noise large deviation asymptotics for stochastic differential equations with a multiplicative noise given as a fractional Brownian motion $B^H$ with Hurst parameter $H>\frac12$. The solutions of the stochastic differential…
In this paper, we study a two-point boundary value problem consisting of the heat equation on the open interval $(0,1)$ with boundary conditions which relate first and second spatial derivatives at the boundary points. Moreover, the unique…