Non-confluence for SDEs driven by fractional Brownian motion with Markovian switching

IF 4.6 Q2 MATERIALS SCIENCE, BIOMATERIALS
Zhi Li, Benchen Huang, Liping Xu
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引用次数: 0

Abstract

In this paper, we investigate the non-confluence property of a class of stochastic differential equations with Markovian switching driven by fractional Brownian motion with Hurst parameter \(H\in (1/2,1)\). By using the generalized Itô formula and stopping time techniques, we obtain some sufficient conditions ensuring the non-confluence property for the considered equations. Additionally, we present two important corollaries on the non-confluence property by the Poisson equation and M-matrix, respectively, which can verify the non-confluence property more effectively than the general condition. Finally, we provide an example to illustrate the practical usefulness of our theoretical results.

具有马尔可夫切换的分数布朗运动驱动的 SDE 的非汇合问题
在本文中,我们研究了一类具有马尔可夫切换的随机微分方程,该方程由具有赫斯特参数(H\in (1/2,1)\)的分数布朗运动驱动。通过使用广义伊托公式和停止时间技术,我们得到了一些确保所考虑方程非融合特性的充分条件。此外,我们还通过泊松方程和 M 矩阵分别提出了关于非汇合性质的两个重要推论,它们比一般条件更有效地验证了非汇合性质。最后,我们提供了一个例子来说明我们的理论结果的实用性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
ACS Applied Bio Materials
ACS Applied Bio Materials Chemistry-Chemistry (all)
CiteScore
9.40
自引率
2.10%
发文量
464
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