A parabolic stochastic differential equation with fractional Brownian motion input

W. Grecksch and V. V. Anh

Statistics & Probability Letters, 1999, vol. 41, issue 4, 337-346

Abstract: An existence and uniqueness theorem is proved for a quasilinear stochastic evolution equation with an additive noise in the form of a stochastic integral with respect to a Hilbert space-valued fractional Borwnian motion. Ideas of the finite-dimensional approximation by the Galerkin method are used.

Keywords: Fractional; Brownian; motion; Rigged; Hilbert; spaces; Stochastic; evolution; equation (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (5)

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