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5 papers · 2 filters
Mild Solutions for a Class of Fractional SPDEs and Their Sample Paths
Marta Sanz-Solé, Pierre-A. Vuillermot
In this article we introduce and analyze a notion of mild solution for a class of non-autonomous parabolic stochastic partial differential equations defined on a bounded open subse…
On Itô's formula for elliptic diffusion processes
Xavier Bardina, Carles Rovira
Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83--109] prove an extension of Itô's formula for , where has a locally square-integrable derivative in …
Weak approximation of a fractional SDE
Xavier Bardina, Ivan Nourdin, Carles Rovira +1
In this note, a diffusion approximation result is shown for stochastic differential equations driven by a (Liouville) fractional Brownian motion B with Hurst parameter H in (1/3,1/…
Iterated logarithm law for anticipating stochastic differential equations
D. Marquez-Carreras, C. Rovira
We prove a functional law of iterated logarithm for the following kind of anticipating stochastic differential equations $$ξ^u_t=X_0^u+\frac{1}{\sqrt{\log\log u}}\sum_{j=1}^k \int_…
Intersection local time for two independent fractional Brownian motions
David Nualart, Salvador Ortiz-Latorre
We prove the existence of the intersection local time for two independent, d -dimensional fractional Brownian motions with the same Hurst parameter H. Assume d greater or equal to…