Operators associated with stochastic differential equations driven by fractional Brownian motions
Operators associated with stochastic differential equations driven by fractional Brownian motions
复制标题
与分数布朗运动驱动的随机微分方程相关的算子
DOI：
10.1016/j.spa.2006.09.004
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发表时间：
2005
期刊：
影响因子：
--
通讯作者：
L. Coutin
中科院分区：
文献类型：
--
作者：
Fabrice Baudoin;L. Coutin
在本文中，通过使用泰勒型的发展，我们展示了它是如何可能的微分算子与分数布朗运动驱动的随机微分方程。作为一个应用，我们推导出这种不变量的不变测度必须满足一个无穷维的偏微分方程组。
In this paper, by using a Taylor type development, we show how it is possible to associate differential operators with stochastic differential equations driven by fractional Brownian motions. As an application, we deduce that invariant measures for such SDE’s must satisfy an infinite dimensional system of partial differential equations.