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    General fractional multiparameter white noise theory and stochastic partial differential equations

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    Issue Date
    2004
    Author
    Hu, Yaozhong
    Oksendal, Bernt
    Zhang, Tusheng
    Publisher
    MARCEL DEKKER INC
    Format
    282181 bytes
    Type
    Preprint
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    Abstract
    We present a white noise calculus for d-parameter fractional Brownian motion B-H (x, omega); x is an element of R-d, omega is an element of Omega with general d-dimensional Hurst parameter H = (H-l,..., H-d) is an element of (0, 1)(d). As an illustration we solve the stochastic Poisson problem DeltaU(x) = -W-H(x); x is an element of D, U = 0 on partial derivativeD, where the potential W-H(x) is d-parameter fractional white noise given by W-H (x) = (partial derivative(d) B-H (x)) / (partial derivativex(l)...partial derivativex(d)), and D subset of R-d is a given bounded smooth domain. We also solve the linear stochastic heat equation (partial derivativeU/partial derivativet)(t, x) = 1/2 DeltaU(t, x) + W-H (t, x). For each equation we give sufficient conditions that the solutions U(x) and U(t,x), respectively, are square integrable random variables for all t, x.
    URI
    http://hdl.handle.net/1808/282
    DOI
    https://doi.org/10.1081/PDE-120028841
    Collections
    • Mathematics Scholarly Works [280]
    Citation
    Hu, YZ; Oksendal, B; Zhang, TS. General fractional multiparameter white noise theory and stochastic partial differential equations. COMMUNICATIONS IN PARTIAL DIFFERENTIAL EQUATIONS. 2004.29:1-23

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    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

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