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arxiv: 1411.5237 · v1 · pith:HOECALPKnew · submitted 2014-11-19 · 🧮 math.AP

Local pathwise solutions to stochastic evolution equations driven by fractional Brownian motions with Hurst parameters Hin (1/3,1/2]

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keywords equationsdrivenfractionalintegralstochasticbrownianevolutionexistence
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In this article we are concerned with the study of the existence and uniqueness of pathwise mild solutions to evolutions equations driven by a H\"older continuous function with H\"older exponent in $(1/3,1/2)$. Our stochastic integral is a generalization of the well-known Young integral. To be more precise, the integral is defined by using a fractional integration by parts formula and it involves a tensor for which we need to formulate a new equation. From this it turns out that we have to solve a system consisting in a path and an area equations. In this paper we prove the existence of a unique local solution of the system of equations. The results can be applied to stochastic evolution equations with a non-linear diffusion coefficient driven by a fractional Brownian motion with Hurst parameter in $(1/3,1/2]$, which is particular includes white noise.

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