求解具有空间非均匀白噪声的非线性分数阶SPDE

IF 1.1 2区 经济学 Q3 BUSINESS, FINANCE Finance and Stochastics Pub Date : 2023-01-10 DOI:10.1080/17442508.2023.2165398
Junfeng Liu
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引用次数: 0

摘要

本文研究了一类非线性分数阶随机偏微分方程,其中表示一类变阶类稳定Feller过程的马尔可夫发生器,并且是一个可测函数。表示的强迫噪声是一种空间非均匀的白噪声。在非均质布朗膜催化反应的假设条件下,研究了溶液的矩界。作为一个副产品,我们根据解的矩估计证明了解是弱满间歇的。我们还分别研究了Hölder解相对于时间和空间变量的规律性。
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Solving a nonlinear fractional SPDE with spatially inhomogeneous white noise
In this paper, we study the following nonlinear fractional stochastic partial differential equation where denotes the Markovian generator of a stable-like Feller process with variable order and is a measurable function. The forcing noise denoted by is a spatially inhomogeneous white noise. Under some assumptions on the catalytic measure of the inhomogeneous Brownian sheet , we study the moment bounds for the solution. As a byproduct, we prove that the solution is weakly full intermittent based on the moment estimates of the solution. We also study the Hölder regularity of the solution with respect to the temporal and spatial variables, respectively.
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来源期刊
Finance and Stochastics
Finance and Stochastics 管理科学-数学跨学科应用
CiteScore
2.90
自引率
5.90%
发文量
20
审稿时长
>12 weeks
期刊介绍: The purpose of Finance and Stochastics is to provide a high standard publication forum for research - in all areas of finance based on stochastic methods - on specific topics in mathematics (in particular probability theory, statistics and stochastic analysis) motivated by the analysis of problems in finance. Finance and Stochastics encompasses - but is not limited to - the following fields: - theory and analysis of financial markets - continuous time finance - derivatives research - insurance in relation to finance - portfolio selection - credit and market risks - term structure models - statistical and empirical financial studies based on advanced stochastic methods - numerical and stochastic solution techniques for problems in finance - intertemporal economics, uncertainty and information in relation to finance.
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