Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach

被引：0
作者：
Caibin Zeng
Qigui Yang
Yang Quan Chen
机构：
[1] South China University of Technology,School of Sciences
[2] Utah State University,Center for Self
来源：
Nonlinear Dynamics | 2012年 / 67卷
关键词：
Stochastic differential equation; Fractional Brownian motion; Reducibility; Itô formula;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper presents some sufficient and necessary conditions for reducing the nonlinear stochastic differential equations (SDEs) with fractional Brownian motion (fBm) to the linear SDEs. The explicit solution of the reduced equation is computed by its integral equation or the variation of parameters technique. Two illustrative examples are provided to demonstrate the applicability of the proposed approach.
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页码：2719 / 2726
页数：7
相关论文
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