WOW !! MUCH LOVE ! SO WORLD PEACE !
Fond bitcoin pour l'amélioration du site: 1memzGeKS7CB3ECNkzSn2qHwxU6NZoJ8o
  Dogecoin (tips/pourboires): DCLoo9Dd4qECqpMLurdgGnaoqbftj16Nvp


Home | Publier un mémoire | Une page au hasard

 > 

Equations differentials stochastics involving fractional brownian motion two parameter

( Télécharger le fichier original )
par Iqbal HAMADA
Université de SaàŻda - Master 2012
  

sommaire suivant

Extinction Rebellion

University of Saïda
Faculty of Sciences and Technology
Department of Mathematics & Computer machine
Probability & Applications

Memory of Master

Equations Differentials Stochastics

Involving Fractional Brownian Motion

Two-parameter

HAMADA.I

Si tu veux courir, cours un kilomètre, si tu veux
changer ta vie, cours un marathon
Emil Zatopek1.

Contents

1 Element of Fractional Brownian Motion 5

1.1 Fractional Brownian Motion 5

1.1.1 Self-similarity 5

1.1.2 Hölder Continuity 6

1.1.3 Path Differentiability 7

1.1.4 The Fractional Brownian Motion is not a SemimartingaleforH=61 2 7
1.1.5 Fractional Integrals and Fractional Derivatives of Func-

tions 8

1.2 Two-parameter Fractional Brownian Motion 9

1.2.1 The Main Definition 9

1.2.2 Fractional Integrals and Fractional Derivatives of Two-

parameter Functions 10

1.2.3 Hölder Properties of Two-parameter fbm 12

2 Stochastic Integration with Respect to Two-parameter Fractional Brownian Motion 15

2.1 Pathwise Integration in Two-parameter Besov Spaces 15

2.2 Some Additional Properties 23

3 Existence and Uniqueness of the Solutions of SDE with Two-Parameter Fractional Brownian Motion 25

4 CONTENTS

Chapter 1

Element of Fractional Brownian

Motion

1.1 Fractional Brownian Motion

Definition 1.1.0.1. The (two-sided, normalized) fractional Brownian motion (fBm) with Hurst index H E (0, 1) is a Gaussian process BH = {BH t , t E R} on (Ù, F, P), having the properties:

1. BH 0 = 0,

2. EBH t = 0; t E R,

1 (|t|2H + |s|2H - |t - s|2H) ; t, s E R,

3. EBH t BH s = 2

1.1.1 Self-similarity

Definition 1.1.1.1. We say that an Rd-valued random process X = (Xt)t=0 is self-similar or satisfies the property of self-similarity if for every a > 0 there exist b > 0 such that:

law (Xat, t = 0) = law (bXt, t = 0) (1.1)

Note that (1.1) means that two process Xat and bXt have the same finite-dimensional distribution functions, i.e., for every choice t1, ..., tn E R,

P (Xat0 = x0, ..., Xatn = xn) = P(bXt0 = x0, ..., bXtn = xn) For every x0, ..., xn E R.

Definition 1.1.1. A stochastic process X = {Xt, t E R} is called b-selfsimilar if

{Xat,t E R} d ={abXt,t E R} in the sense of finite-dimensional distributions.

1.1.2 Hölder Continuity

We recall that according to the Kolmogorov criterion [3], a process X = (Xt)t?R admits a continuous modification if there exist constants á = 1, â > 0 and k > 0 such that

E [|X(t) - X(s)|á] = k|t - s|1+â

for all s,t E R.

Theorem 1.1.2.1. Let H E (0, 1). The fractional brownian motion BH admits a version whose sample paths are almost surely Hölder continuous of order strictly less than H.

Proof. We recall that a function f : R -? R is Hölder continuous of order á, 0 < á = 1 and write f E Cá(R), if there exists M > 0 such that

|f(t) - f(s)| = M|t - s|á,

For every s, t E R. For any á > 0 we have

E ~|BH t - BH t |á] = E [|BH 1 |á] |t - s|áH;

Hence, by the Kolmogorov criterion we get that the sample paths of BH are almost everywhere Hölder continuous of order strictly less than H. Moreover, by [4] we have

lim

t-+0+

sup

~~BH ~ (t)

= CH

tHs/log log t-1

with probability one, where CH is a suitable constant. Hence BH can not have sample paths with Hölder continuity's order greater than H.

sommaire suivant






Extinction Rebellion





Changeons ce systeme injuste, Soyez votre propre syndic





"Les esprits médiocres condamnent d'ordinaire tout ce qui passe leur portée"   François de la Rochefoucauld