Fractional bilinear stochastic equations with the drift in the first fractional chaos

被引：5
|
作者：
Tudor, C
机构：
[1] Univ Bucharest, Dept Math & Informat, Bucharest 010014, Romania
[2] CIMAT, Bucharest 010014, Romania
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2004年 / 22卷 / 05期
关键词：
fractional Brownian motion; bilinear stochastic equations; multiple fractional integrals;
D O I：
10.1081/SAP-200026448
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In the paper we compute the explicit form of the fractional chaos decomposition of the solution of a fractional stochastic bilinear equation with the drift in the fractional chaos of order one and initial condition in a finite fractional chaos. The large deviations principle is also obtained for the one-dimensional distributions of the solution of the equation perturbed by a small noise.
引用
收藏
页码：1209 / 1233
页数：25
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