相关论文: Function-valued stochastic convolutions arising in…

In this paper we study set-valued Volterra-type stochastic integrals driven by L\'{e}vy processes. Upon extending the classical definitions of set-valued stochastic integral functionals to convoluted integrals with square-integrable…

In this work, some regularity properties of mild solutions for a class of stochastic linear functional differential equations driven by infinite dimensional Wiener processes are considered. In terms of retarded fundamental solutions, we…

Stochastic differential equations for processes with values in Hilbert spaces are now largely used in the quantum theory of open systems. In this work we present a class of such equations and discuss their main properties; moreover, we…

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…

In this paper we consider fractional higher-order stochastic differential equations of the form \begin{align*} \left( \mu + c_\alpha \frac{d^\alpha}{d(-t)^\alpha} \right)^\beta X(t) = \mathcal{E}(t) , \quad t\geq 0,\; \mu>0,\; \beta>0,\;…

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 consider a class of stochastic delay fractional evolution equations driven by fractional Brownian motion in a Hilbert space. Sufficient conditions for the existence and uniqueness of mild solutions are obtained. An…

We provide an abstract variational existence and uniqueness result for multi-valued, monotone, non-coercive stochastic evolution inclusions in Hilbert spaces with general additive and Wiener multiplicative noise. As examples we discuss…

We consider the solution to a stochastic heat equation. This solution is a random function of time and space. For a fixed point in space, the resulting random function of time, $F(t)$, has a nontrivial quartic variation. This process,…

We study the full Navier--Stokes--Fourier system governing the motion of a general viscous, heat-conducting, and compressible fluid subject to stochastic perturbation. Stochastic effects are implemented through (i) random initial data, (ii)…

A stochastic affine evolution equation with bilinear noise term is studied where the driving process is a real-valued fractional Brownian motion. Stochastic integration is understood in the Skorokhod sense. Existence and uniqueness of weak…

We analyze the valuation partial differential equation for European contingent claims in a general framework of stochastic volatility models where the diffusion coefficients may grow faster than linearly and degenerate on the boundaries of…

This work is devoted to the study of the Fokker--Planck equation for a stochastic heat equation with an additive $Q$-Wiener noise and non-homogeneous boundary conditions. We explicitly construct the probability density function and…

We study integro-differential inclusions in Hilbert spaces with operator-valued kernels and give sufficient conditions for the well-posedness. We show that several types of integro-differential equations and inclusions are covered by the…

In this article, we give some existence and smoothness results for the law of the solution to a stochastic heat equation driven by a finite dimensional fractional Brownian motion with Hurst parameter $H>1/2$. Our results rely on recent…

We apply the well-known Banach-Necas-Babuska inf-sup theory in a stochastic setting to introduce a weak space-time formulation of the linear stochastic heat equation with additive noise. We give sufficient conditions on the the data and on…

Identifying an appropriate covariance function is one of the primary interests in spatial and spatio-temporal statistics because it allows researchers to analyze the dependence structure of the random process. For this purpose, spatial…

Increasingly larger data sets of processes in space and time ask for statistical models and methods that can cope with such data. We show that the solution of a stochastic advection-diffusion partial differential equation provides a…

We study invariant solutions of a certain class of time-fractional diffusion-wave equations with variable coefficients via Lie symmetry analysis. In physics, the fractional diffusion equation describes transport dynamics that are governed…

We apply a relation between matrix-valued complete Bernstein functions and matrix-valued Stieltjes functions to prove that certain convolution equations for matrix-valued functions have unique solutions in a special class of functions. In…