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

页码：1209 / 1233

页数：25

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