Journal article

Existence And Uniqueness Of Mild Solution To Fractional Stochastic Heat Equation

Year:

2019

Published in:

Modern Stochastics: Theory and Applications
Fractional Brownian motion
stochastic partial
differential equation
mild solution
Green’s function

For a class of non-autonomous parabolic stochastic partial differential equations defined on a bounded open subset D⊂RdD⊂Rd and driven by an L2(D)L2(D)-valued fractional Brownian motion with the Hurst index H>1/2H>1/2, a new result on existence and uniqueness of a mild solution is established. Compared to the existing results, the uniqueness in a fully nonlinear case is shown, not assuming the coefficient in front of the noise to be affine. Additionally, the existence of moments for the solution is established.

Other publications by

80 publications found

2017
Journal article

Wave Equation With A Coloured Stable Noise

Publisher: Random Operators and Stochastic Equations

Authors: Georgiy Shevchenko, Larysa Pryhara

2016
Journal article

Approximations For A Solution To Stochastic Heat Equation With Stable Noise

Publisher: Modern Stochastics: Theory and Applications

Authors: Georgiy Shevchenko, Larysa Pryhara

2011
Working paper

Fractional And Multifractional Models In Finance

Publisher: Taras Shevchenko National University of Kyiv

Authors: Georgiy Shevchenko

2014
Book

Modern Stochastics And Applications

Publisher: Springer Cham

Authors: Georgiy Shevchenko, Volodymyr Korolyuk, Nikolaos Limnios, Yulia Mishura, Lyudmyla Sakhno

2022
Journal article

The Harmonic Mean Formula For Random Processes

Publisher: Stochastic Analysis and Applications

Authors: Georgiy Shevchenko, Enkelejd Hashorva, Krzysztof Bisewski

2014
Book Chapter

On The Distribution Of Integral Functionals Of A Homogeneous Diffusion Process

Publisher: Bocconi & Springer Series

Authors: Georgiy Shevchenko, M. Perestyuk, Yulia Mishura

2011
Journal article

Anatolii Volodymyrovych Skorokhod (1930–2011)

Publisher: Stochastic Processes and their Applications

Authors: Georgiy Shevchenko, Volodymyr Korolyuk, Yuriy Kozachenko, Yulia Mishura, Halyna Syta

2013
Journal article

Approximation Of Random Variables By Functionals Of The Increments Of A Fractional Brownian Motion

Publisher: Theory of Probability and Mathematical Statistics

Authors: Georgiy Shevchenko, Taras Shalaiko

2025
Journal article

Stochastic Selection Problem For A Stratonovich Sde With Power Non‑Linearity

Publisher: Bernoulli

Authors: Georgiy Shevchenko, Ilya Pavlyukevich

2005
Journal article

Linear Equations And Stochastic Exponents In A Hilbert Space

Publisher: Theory of Probability and Mathematical Statistics

Authors: Georgiy Shevchenko, Yulia Mishura