Neutral stochastic functional differential equations driven by a fractional Brownian motion in a Hilbert space

Brahim Boufoussi and Salah Hajji

Statistics & Probability Letters, 2012, vol. 82, issue 8, 1549-1558

Abstract: In this note we prove an existence and uniqueness result of mild solutions for a neutral stochastic differential equation with finite delay, driven by a fractional Brownian motion in a Hilbert space and we establish some conditions ensuring the exponential decay to zero in mean square for the mild solution.

Keywords: Mild solution; Semigroup of bounded linear operator; Fractional powers of closed operators; Fractional Brownian motion; Wiener integral (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.spl.2012.04.013

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