Nonlinear Dynamics

, Volume 67, Issue 4, pp 2719–2726 | Cite as

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

Original Paper

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.

Keywords

Stochastic differential equation Fractional Brownian motion Reducibility Itô formula 

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Copyright information

© Springer Science+Business Media B.V. 2011

Authors and Affiliations

  1. 1.School of SciencesSouth China University of TechnologyGuangzhouP.R. China
  2. 2.Center for Self-Organizing and Intelligent Systems, Electrical and Computer Engineering DepartmentUtah State UniversityLoganUSA

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