Related papers: Stochastic derivatives for fractional diffusions

This paper examines the temporal evolution of a two-stage stochastic model for spherical random fields. The model uses a time-fractional stochastic hyperbolic diffusion equation, which describes the evolution of spherical random fields on…

In this paper, we consider a stochastic differential equation driven by a fractional Brownian motion (fBm) and a Wiener process and having jumps. We prove that this equation has a unique solution and show that all its moments are finite.

We study efficiency of non-parametric estimation of diffusions (stochastic differential equations driven by Brownian motion) from long stationary trajectories. First, we introduce estimators based on conditional expectation which is…

Stochastic models with fractional Brownian motion as source of randomness have become popular since the early 2000s. Fractional Brownian motion (fBm) is a Gaussian process, whose covariance depends on the so-called Hurst parameter $H\in…

We introduce a fractional stochastic heat equation with second order elliptic operator in divergence form, having a piecewise constant diffusion coefficient, and driven by an infinite-dimensional fractional Brownian motion. We characterize…

In this paper we study upper bounds for the density of solution of stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/3. We show that under some geometric conditions, in the regular case H >…

The stochastic solution to diffusion equations with polynomial coefficients is called a Pearson diffusion. If the time derivative is replaced by a distributed fractional derivative, the stochastic solution is called a fractional Pearson…

In this note we prove an existence and uniqueness result for the solution of multidimensional stochastic delay differential equations with normal reflection. The equations are driven by a fractional Brownian motion with Hurst parameter…

We consider finite element approximations for a one dimensional second order stochastic differential equation of boundary value type driven by a fractional Brownian motion with Hurst index $H\le 1/2$. We make use of a sequence of…

In these lecture notes, we explore the mathematical preliminaries and foundational concepts that connect stochastic processes with partial differential equations. We begin by investigating Brownian motion, which serves as a model for random…

This article is devoted to the stochastic anticipating equations with the extended stochastic integral with respect to the Gaussian processes of a special type. In the particular cases the solutions of such an equations are the well-known…

We investigate evolution equations for anomalous diffusion employing fractional derivatives in space and time. Linkage between the space-time variables leads to a new type of fractional derivative operator. Fractional diffusion equations…

We study distribution dependent stochastic differential equations with irregular, possibly distributional drift, driven by an additive fractional Brownian motion of Hurst parameter $H\in (0,1)$. We establish strong well-posedness under a…

Existing deterministic variational inference approaches for diffusion processes use simple proposals and target the marginal density of the posterior. We construct the variational process as a controlled version of the prior process and…

In this article we study effects that small perturbations in the noise have to the solution of differential equations driven by H\"older continuous functions of order $H>\frac12$. As an application, we consider stochastic differential…

In the present review we survey the properties of a transcendental function of the Wright type, nowadays known as M-Wright function, entering as a probability density in a relevant class of self-similar stochastic processes that we…

This paper studies the linear stochastic partial differential equation of fractional orders both in time and space variables $\left(\partial^\beta + \frac{\nu}{2} (-\Delta)^{\alpha/2} \right) u(t,x)= \lambda u(t,x) \dot{W}(t,x)$, where…

We introduce a stochastic fractional calculus. As an application, we present a stochastic fractional calculus of variations, which generalizes the fractional calculus of variations to stochastic processes. A stochastic fractional…

In this paper, we introduce the linear fractional self-attracting diffusion driven by a fractional Brownian motion with Hurst index 1/2<H<1, which is analogous to the linear self-attracting diffusion. For 1-dimensional process we study its…

We study the inverse random source problem for the time-space fractional diffusion equation driven by fractional Brownian motion with Hurst index $H\in(0,1)$. With the aid of a novel estimate, by using the operator approach we propose…