Linear Stochastic Equations in a Hilbert Space with a Fractional Brownian Motion

B. Pasik-Duncan (), T. E. Duncan () and B. Maslowski ()
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B. Pasik-Duncan: University of Kansas
T. E. Duncan: University of Kansas
B. Maslowski: Czech Academy of Sciences

Chapter Chapter 11 in Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems, 2006, pp 201-221 from Springer

Abstract: Abstract A solution is obtained for a linear stochastic equation in a Hilbert space with a fractional Brownian motion. The Hurst parameter for the fractional Brownian motion is not restricted. Sample path properties of the solution are obtained that depend on the Hurst parameter. An example of a stochastic partial differential equation is given.

Keywords: Linear stochastic equations in Hilbert space; fractional Brownian motion; sample path properties of solutions; Ornstein-Uhlenbeck processes; stochastic linear partial differential equations (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-0-387-33815-6_11

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DOI: 10.1007/0-387-33815-2_11

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