Session S17 - Stochastic Systems: Analysis, Numerics and Applications

Friday, July 16, 12:00 ~ 12:35 UTC-3

Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than 1/2

Jorge A. León

Departamento de Control Automático, Cinvestav-IPN, Mexico   -   This email address is being protected from spambots. You need JavaScript enabled to view it.

In this talk, we introduce a Stratonovich type integral with respect to fractional Brownian motion with Hurst parameter $H\in(0,1/2)$. Then, we study an It\^o's type formula, the relation between this integral and an extension of the divergence operator, and the existence of a unique solution to some Stratonovich stochastic differential equations. Towards this end, roughly speaking, we only need to use the norm of the space $L^2(\Omega\times[0,T])$ instead of a norm of a Sobolev space given by the Malliavin calculus.

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