اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدWeak existence of a solution to a differential equation driven by a very rough fBm
39
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
We prove that if $f:mathbb{R}tomathbb{R}$ is Lipschitz continuous, then for every $Hin(0,1/4]$ there exists a probability space on which we can construct a fractional Brownian motion $X$ with Hurst parameter $H$, together with a process $Y$ that: (i) is Holder-continuous with Holder exponent $gamma$ for any $gammain(0,H)$; and (ii) solves the differential equation $dY_t = f(Y_t) dX_t$. More significantly, we describe the law of the stochastic process $Y$ in terms of the solution to a non-linear stochastic partial differential equation.
قيم البحث
اقرأ أيضاً
We give an elementary proof that Davies definition of a solution to a rough differential equation and the notion of solution given by Bailleul in (Flows driven by rough paths) coincide. This provides an alternative point on view on the deep algebraic
insights of Cass and Weidner in their work (Tree algebras over topological vector spaces in rough path theory).
Within the rough path framework we prove the continuity of the solution to random differential equations driven by fractional Brownian motion with respect to the Hurst parameter $H$ when $H in (1/3, 1/2]$.
In this note we consider the parabolic Anderson model in one dimension with time-independent fractional noise $dot{W}$ in space. We consider the case $H<frac{1}{2}$ and get existence and uniqueness of solution. In order to find the quenched asymptoti
cs for the solution we consider its Feynman-Kac representation and explore the asymptotics of the principal eigenvalue for a random operator of the form $frac{1}{2} Delta + dot{W}$.
We develop the rough path counterpart of It^o stochastic integration and - differential equations driven by general semimartingales. This significantly enlarges the classes of (It^o / forward) stochastic differential equations treatable with pathwise methods. A number of applications are discussed.
In this paper, we consider unsaturated poroelasticity, i.e., coupled hydro-mechanical processes in unsaturated porous media, modeled by a non-linear extension of Biots quasi-static consolidation model. The coupled, elliptic-parabolic system of partia
l differential equations is a simplified version of the general model for multi-phase flow in deformable porous media obtained under similar assumptions as usually considered for Richards equation. In this work, the existence of a weak solution is established using regularization techniques, the Galerkin method, and compactness arguments. The final result holds under non-degeneracy conditions and natural continuity properties for the non-linearities. The assumptions are demonstrated to be reasonable in view of geotechnical applications.
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
