Bohdan Maslowski

Evolution equations driven by a fractional Brownian motion

Abstract In this paper we study nonlinear stochastic evolution equations in a Hilbert space driven by a cylindrical fractional Brownian motion with Hurst parameter H> 1 2 and nuclear covariance operator. We establish the existence and uniqueness of a mild solution under some regularity and boundedness conditions on the coefficients and for some values of the parameter H. This result is applied to stochastic parabolic equation perturbed by a fractional white noise. In this case, if the coefficients are Lipschitz continuous and bounded the existence and uniqueness of a solution holds if H> d 4 . The proofs of our results combine techniques of fractional calculus with semigroup estimates.

FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES

In this paper, stochastic differential equations in a Hilbert space with a standard, cylindrical fractional Brownian motion with the Hurst parameter in the interval (1/2,1) are investigated. Existence and uniqueness of mild solutions, continuity of the sample paths and state space regularity of the solutions, and the existence of limiting measures are verified. The equivalence of the probability laws for the solution evaluated at different times and different initial conditions and the convergence of these probability laws to the limiting probability are verified. These results are applied to specific stochastic parabolic and hyperbolic differential equations. The solution of a specific parabolic equation with the fractional Brownian motion only in the boundary condition is shown to have many results that are analogues of the results for a fractional Brownian motion in the domain.

Random Dynamical Systems and Stationary Solutions of Differential Equations Driven by the Fractional Brownian Motion

Abstract Linear and semilinear stochastic evolution equations with additive noise, where the forcing term is an infinite dimensional fractional Brownian motion are studied. Under usual dissipativity conditions the equations are shown to define random dynamical systems which have unique, exponentially attracting fixed points. The results are applied to stochastic parabolic PDEs. They are also applicable to standard finite-dimensional dissipative stochastic equation driven by fractional Brownian motion.

Stability of solution to semilinear stochastic evolution equations

We study global and local stabilities of the stationary zero solution to certain infinite-dimensional stochastic differential equations. The stabilities are in terms of fractional powers of the linear part of the drift. The abstract results are applied to semilinear stochastic partial differential equations with non-Lipschitzian drift terms and, in particular, to some specific models of population dynamics. We also expose the stabilizing effect of noise on the otherwise unstable zero solution As a basic tool we use the Forward Inequality, a generalization of Kolmogorovs forward equation; it is an application of Lyapunovs second method with a sequence of Lyapunov functionals

STOCHASTIC POROUS MEDIA EQUATION DRIVEN BY FRACTIONAL BROWNIAN MOTION

The present work deals with stochastic porous media equation with multiplicative noise, driven by fractional Brownian motion B(H) with Hurst index H > 1/2. The stochastic integral with integrator B(H) is defined pathwise following the theory developed by Zahle [24], based on the so-called fractional derivatives. It is shown that there is a one-to-one correspondence between solutions to the stochastic equation and solutions to its deterministic counterpart. By means of this correspondence and exploiting properties of the deterministic porous media equation, the existence, uniqueness, regularity and long-time properties of the solution is established. We also prove that the solution forms a random dynamical system in an appropriate function space.