scholarly journals Kolmogorov equation and large-time behaviour for fractional brownian motion driven linear sde’s

2005 ◽  
Vol 50 (1) ◽  
pp. 63-81 ◽  
Author(s):  
Michal Vyroai
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Large Time ◽  
Kolmogorov Equation ◽  
Time Behaviour ◽  
Large Time Behaviour

scholarly journals Large Time Behavior on the Linear Self-Interacting Diffusion Driven by Sub-Fractional Brownian Motion With Hurst Index Large Than 0.5 I: Self-Repelling Case

2022 ◽  
Vol 9 ◽  
Author(s):  
Han Gao ◽  
Rui Guo ◽  
Yang Jin ◽  
Litan Yan
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Large Time ◽  
Large Time Behavior ◽  
Time Behavior ◽  
Hurst Index ◽  
Interacting Diffusion ◽  
Two Parameters

Let SH be a sub-fractional Brownian motion with index 12<H<1. In this paper, we consider the linear self-interacting diffusion driven by SH, which is the solution to the equationdXtH=dStH−θ(∫0tXtH−XsHds)dt+νdt,X0H=0,where θ &lt; 0 and ν∈R are two parameters. Such process XH is called self-repelling and it is an analogue of the linear self-attracting diffusion [Cranston and Le Jan, Math. Ann. 303 (1995), 87–93]. Our main aim is to study the large time behaviors. We show the solution XH diverges to infinity, as t tends to infinity, and obtain the speed at which the process XH diverges to infinity as t tends to infinity.

scholarly journals Large time behaviour of someN-body systems

1985 ◽  
Vol 101 (1) ◽  
pp. 129-152
Author(s):  
M. Krishna
Keyword(s):  
Large Time ◽  
Time Behaviour ◽  
Large Time Behaviour

Renormalization Group Method for Singular Perturbed Systems Driven by Fractional Brownian Motion

2019 ◽  
Author(s):  
Lihong Guo ◽  
Shaoyun Shi ◽  
YangQuan Chen
Keyword(s):  
Brownian Motion ◽  
Renormalization Group ◽  
Fractional Brownian Motion ◽  
High Probability ◽  
Large Time ◽  
Approximate Solutions ◽  
Hurst Parameter ◽  
Group Method ◽  
Renormalization Group Method ◽  
Perturbed Systems

Abstract In this article, we use the renormalization group method to study the approximate solution of stochastic differential equations (SDEs) driven by fractional Brownian motion with Hurst parameter H∈12,1. We derive a related reduced system, which we use to construct the separate scale approximation solutions. It is shown that the approximate solutions remain valid with high probability on large time scales. We also expect that our general approach can be applied to the fields of physics, finance, and engineering, etc.

Large time behaviour of solutions to the 3D-NSE in Xσ spaces

2020 ◽  
Vol 482 (2) ◽  
pp. 123566 ◽  
Author(s):  
Jamel Benameur ◽  
Mariem Bennaceur
Keyword(s):  
Large Time ◽  
Time Behaviour ◽  
Large Time Behaviour
Sign in / Sign up

Export Citation Format

Share Document