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Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises

Yuliya MishuraORCIDKostiantyn RalchenkoORCIDGeorgiy ShevchenkoORCID

Анотація

We prove the existence and uniqueness of a mild solution for a class of nonautonomous parabolic mixed stochastic partial differential equations defined on a bounded open subset $D \subset \mathbb {R}^d$ and involving standard and fractional $L^2(D)$-valued Brownian motions. We assume that the coefficients are homogeneous, Lipschitz continuous, and the coefficient at the fractional Brownian motion is an affine function.

Класифікація

Домен
Physical SciencesSocial Sciences
Галузь
Computer ScienceEconomics, Econometrics and FinanceEngineering
Підгалузь
Computational Theory and MathematicsFinanceControl and Systems Engineering
Тема
Advanced Mathematical Modeling in Engineering★Stochastic processes and financial applicationsStability and Controllability of Differential Equations

Ідентифікатори

DOI: 10.1090/tpms/1068

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