A quasilinear stochastic partial differential equation driven by fractional white noise

DOI10.1515/MCMA.2007.019zbMath1140.60035OpenAlexW2066681294WikidataQ115235984 ScholiaQ115235984MaRDI QIDQ5443550

Wilfried Grecksch, Christian J. Roth

Publication date: 21 February 2008

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2007.019

zbMATH Keywords

fractional Brownian motionSPDEfractional white noiseGjessing's lemma

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (1)

Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market

Cites Work

• A nonlinear parabolic equation with noise
• An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
• A General Fractional White Noise Theory And Applications To Finance

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