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math.PR2006
Itô's formula for linear fractional PDEs
Jorge A. Leon, Samy Tindel
In this paper we introduce a stochastic integral with respect to the solution X of the fractional heat equation on [0,1], interpreted as a divergence operator. This allows to use t…
math.PR2006
Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter less than 1/2
Jorge A. Leon, Jaime San Martin
In this paper we use the chaos decomposition approach to establish the existence of a unique continuous solution to linear fractional differential equations of the Skorohod type. H…