Ordinary differential equations with fractal noise

Author:

Klingenhöfer F.,Zähle M.

Abstract

The differential equation \[ d x ( t ) = a ( x ( t ) , t ) d Z ( t ) + b ( x ( t ) , t ) d t dx(t) \, = \, a(x(t),t) \,dZ(t) \:+\: b(x(t),t) \,dt \] for fractal-type functions Z ( t ) Z(t) is determined via fractional calculus. Under appropriate conditions we prove existence and uniqueness of a local solution by means of its representation x ( t ) = h ( y ( t ) + Z ( t ) , t ) x(t)\, =\, h(y(t)+Z(t),t) for certain C 1 C^1 -functions h h and y y . The method is also applied to Itô stochastic differential equations and leads to a general pathwise representation. Finally we discuss fractal sample path properties of the solutions.

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,General Mathematics

Reference4 articles.

1. Graduate Texts in Mathematics;Karatzas, Ioannis,1991

2. Differential equations driven by rough signals. I. An extension of an inequality of L. C. Young;Lyons, Terry;Math. Res. Lett.,1994

3. M. Zähle, Integration with Respect to Fractal Functions and Stochastic Calculus, Probab. Theory Related Fields (to appear).

Cited by 25 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. De-noising classification method for financial time series based on ICEEMDAN and wavelet threshold, and its application;EURASIP Journal on Advances in Signal Processing;2024-01-26

2. Rough Homogenisation with Fractional Dynamics;Geometry and Invariance in Stochastic Dynamics;2021

3. Long-Range Dependence and Self-Similarity;CA ST PR MA;2017

4. Constructing functions with prescribed pathwise quadratic variation;Journal of Mathematical Analysis and Applications;2016-10

5. Fractional Brownian Motion and an Application to Fluids;Mathematical Engineering;2015

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3