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To solve fractional differential equations without delay, the second main tool would be to define the integral of a weakly controlled path with respect to fractional Brownian motion
In the almost last three decades, there have been enormous advances in the study of random field solutions to stochastic partial differential equations (SPDEs) driven by
Nualart: Weak solution for stochastic differential equations driven by a fractional Brownian motion with parameter H > 1/2 and discontinuous drift preprint IMUB N o 319.
GUE, eigenvalues of random matrices, Hermitian Brownian motion, non-colliding Brownian motions, Weyl chamber, queues in series, Burke’s theorem, reversibility, Pitman’s representa-
Abstract: In this paper we give a solution for the one-dimensional reflected backward stochastic differential equation when the noise is driven by a Brownian motion and an
Bensoussan, Some existence results for stochastic partial differential equa- tions , in Stochastic Partial Differential Equations and Applications, G. Tubaro, eds.,
We prove here (by showing convergence of Chen’s series) that linear stochastic differential equa- tions driven by analytic fractional Brownian motion [6, 7] with arbitrary Hurst index
We investigate a functional limit theorem (homogenization) for Reflected Stochastic Differential Equations on a half-plane with stationary coefficients when it is necessary to
