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Fractional Bilinear Stochastic Equations with the Drift in the First Fractional Chaos
Author:
Constantin Tudor a
| Affiliation: | a Department of Mathematics and Informatics, University of Bucharest and CIMAT, Bucharest, Romania |
DOI:
10.1081/SAP-200026448
Publication Frequency:
6 issues per year
Published in:
Stochastic Analysis and Applications,
Volume
22,
Issue
5
January
2005
, pages 1209
- 1233
Stochastic Analysis and Applications,
Volume
22,
Issue
5
January
2005
, pages 1209
- 1233
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(English)
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(English)
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Abstract
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.
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| Keywords: Fractional Brownian motion; Bilinear stochastic equations; Multiple fractional integrals |
| Mathematics Subject Classification: 60H07; 60H20 |
| view references (19) |
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