Local pathwise solutions to stochastic evolution equations driven by fractional Brownian motions with Hurst parameters H ∈ (1/3, 1/2]
In this article we are concerned with the study of the existence and uniqueness of pathwise mild solutions to evolutions equations driven by a H¨older continuous function with H¨older exponent in (1/3, 1/2). Our stochastic integral is a generalization of the well-known Young integral. To be more pre...
| Autores: | , , |
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| Formato: | artículo |
| Estado: | Versión enviada para evaluación y publicación |
| Fecha de publicación: | 2015 |
| País: | España |
| Recursos: | Universidad de Sevilla (US) |
| Repositorio: | idUS. Depósito de Investigación de la Universidad de Sevilla |
| OAI Identifier: | oai:idus.us.es:11441/44899 |
| Acesso em linha: | http://hdl.handle.net/11441/44899 https://doi.org/10.3934/dcdsb.2015.20.2553 |
| Access Level: | acceso abierto |
| Palavra-chave: | Stochastic PDEs Hilbert-valued fractional Brownian motion Pathwise solutions |
| Resumo: | In this article we are concerned with the study of the existence and uniqueness of pathwise mild solutions to evolutions equations driven by a H¨older continuous function with H¨older exponent in (1/3, 1/2). Our stochastic integral is a generalization of the well-known Young integral. To be more precise, the integral is defined by using a fractional integration by parts formula and it involves a tensor for which we need to formulate a new equation. From this it turns out that we have to solve a system consisting in a path and an area equations. In this paper we prove the existence of a unique local solution of the system of equations. The results can be applied to stochastic evolution equations with a non-linear diffusion coefficient driven by a fractional Brownian motion with Hurst parameter in (1/3, 1/2], which is particular includes white noise. |
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