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Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach

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Abstract

This paper presents some sufficient and necessary conditions for reducing the nonlinear stochastic differential equations (SDEs) with fractional Brownian motion (fBm) to the linear SDEs. The explicit solution of the reduced equation is computed by its integral equation or the variation of parameters technique. Two illustrative examples are provided to demonstrate the applicability of the proposed approach.

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Authors and Affiliations

  1. School of Sciences, South China University of Technology, Guangzhou, 510640, P.R. China

    Caibin Zeng & Qigui Yang

  2. Center for Self-Organizing and Intelligent Systems, Electrical and Computer Engineering Department, Utah State University, Logan, UT, 84322-4160, USA

    Yang Quan Chen

Authors
  1. Caibin Zeng
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  2. Qigui Yang
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  3. Yang Quan Chen
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Correspondence to Yang Quan Chen.

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Zeng, C., Yang, Q. & Chen, Y.Q. Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach. Nonlinear Dyn 67, 2719–2726 (2012). https://doi.org/10.1007/s11071-011-0183-3

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  • DOI: https://doi.org/10.1007/s11071-011-0183-3

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