September  2017, 22(7): 2521-2541. doi: 10.3934/dcdsb.2017084

Stochastic differential equations with non-instantaneous impulses driven by a fractional Brownian motion

1. 

Laboratory of Mathematics, Univ Sidi Bel Abbes, PoBox 89,22000 Sidi-Bel-Abbes, Algeria

2. 

Departamento de Ecuaciones Diferenciales y Análisis Numérico, Universidad de Sevilla, Apdo. de Correos 1160,41080 Sevilla, Spain

1 Corresponding author

Received  July 2016 Revised  September 2016 Published  March 2017

Fund Project: This work has been partially supported by grant MTM2015-63723-P (MINECO/FEDER, EU) and Consejería de Innovación, Ciencia y Empresa (Junta de Andalucía) under grant 2010/FQM314 and Proyecto de Excelencia P12-FQM-1492.

This paper is concerned with the existence and continuous dependence of mild solutions to stochastic differential equations with non-instantaneous impulses driven by fractional Brownian motions. Our approach is based on a Banach fixed point theorem and Krasnoselski-Schaefer type fixed point theorem.

Citation: Ahmed Boudaoui, Tomás Caraballo, Abdelghani Ouahab. Stochastic differential equations with non-instantaneous impulses driven by a fractional Brownian motion. Discrete & Continuous Dynamical Systems - B, 2017, 22 (7) : 2521-2541. doi: 10.3934/dcdsb.2017084
References:
[1]

H. M. Ahmed, Semilinear neutral fractional stochastic integro-differential equations with nonlocal conditions, J. Theoret. Probab., 28 (2015), 667-680.  doi: 10.1007/s10959-013-0520-1.  Google Scholar

[2]

E. AlosO. Mazet and D. Nualart, Stochastic calculus with respect to Gaussian processes, Ann. Probab., 29 (2001), 766-801.  doi: 10.1214/aop/1008956692.  Google Scholar

[3]

C. Avramescu, Some remarks on a fixed point theorem of Krasnoselskii, Electron. J. Qual. Theory Differ. Equ., 5 (2003), 1-15.   Google Scholar

[4]

J. Bao and Z. Hou, Existence of mild solutions to stochastic neutral partial functional differential equations with non-Lipschitz coefficients, Comput. Math. Appl., 59 (2010), 207-214.  doi: 10.1016/j.camwa.2009.08.035.  Google Scholar

[5]

I. Bihari, A generalization of a lemma of Bellman and its application to uniqueness problems of differential equations, Acta Math. Acad. Sci. Hungar., 7 (1956), 81-94.  doi: 10.1007/BF02022967.  Google Scholar

[6]

A. BoudaouiT. Caraballo and A. Ouahab, Existence of mild solutions to stochastic delay evolution equations with a fractional Brownian motion and impulses, Stoch. Anal. Appl., 33 (2015), 244-258.  doi: 10.1080/07362994.2014.981641.  Google Scholar

[7]

A. BoudaouiT. Caraballo and A. Ouahab, Impulsive stochastic functional differential inclusions driven by a fractional Brownian motion with infinite delay, Math. Meth. Appl. Sci., 39 (2016), 1435-1451.  doi: 10.1002/mma.3580.  Google Scholar

[8]

A. BoudaouiT. Caraballo and A. Ouahab, Impulsive neutral functional differential equations driven by a fractional Brownian motion with unbounded delay, Appl. Anal., 95 (2016), 2039-2062.  doi: 10.1080/00036811.2015.1086756.  Google Scholar

[9]

B. Boufoussi and S. Hajji, Neutral stochastic functional differential equations driven by a fractional Brownian motion in a Hilbert space, Statist. Probab. Lett., 82 (2012), 1549-1558.  doi: 10.1016/j.spl.2012.04.013.  Google Scholar

[10]

G. CaoK. He and X. Zhang, Successive approximations of infinite dimensional SDES with jump, Stoch. Dyn., 5 (2005), 609-619.  doi: 10.1142/S0219493705001584.  Google Scholar

[11]

T. CaraballoM. J. Garrido-Atienza and T. Taniguchi, The existence and exponential behavior of solutions to stochastic delay evolution equations with a fractional Brownian motion, Nonlinear Anal., 74 (2011), 3671-3684.  doi: 10.1016/j.na.2011.02.047.  Google Scholar

[12]

T. Caraballo, Mamadou A. Diop, Neutral stochastic delay partial functional integro-differential equations driven by a fractional Brownian motion, Front. Math. China, 8 (2013), 745-760.  doi: 10.1007/s11464-013-0300-3.  Google Scholar

[13]

M. M. El-BoraiK. EI-Said EI-Nadi and H. A. Fouad, On some fractional stochastic delay differential equations, Comput. Math. Appl., 59 (2010), 1165-1170.  doi: 10.1016/j.camwa.2009.05.004.  Google Scholar

[14]

G. R. Gautam and J. Dabas, Existence result of fractional functional integrodifferential equation with not instantaneous impulse, Int. J. Adv. Appl. Math. Mech, 1 (2014), 11-21.   Google Scholar

[15]

T. E. Govindan, Almost sure exponential stability for stochastic neutral partial functional differential equations, Stochastics, 77 (2005), 139-154.  doi: 10.1080/10451120512331335181.  Google Scholar

[16]

J. R. Graef, J. Henderson and A. Ouahab, Impulsive Differential Inclusions. A Fixed Point Approach De Gruyter Series in Nonlinear Analysis and Applications, 20. De Gruyter, Berlin, 2013. doi: 10.1515/9783110295313.  Google Scholar

[17]

J. K. Hale and J. Kato, Phase space for retarded equations with infinite delay, Funkcial. Ekvac., 21 (1978), 11-41.   Google Scholar

[18]

E. Hernández and D. O'Regan, On a new class of abstract impulsive differential equations, Proc. Amer. Math. Soc., 141 (2013), 1641-1649.  doi: 10.1090/S0002-9939-2012-11613-2.  Google Scholar

[19]

F. Jiang and Y. Shen, A note on the existence and uniqueness of mild solutions to neutral stochastic partial functional differential equations with non-Lipschitz coefficients, Comput. Math. Appl., 61 (2011), 1590-1594.  doi: 10.1016/j.camwa.2011.01.027.  Google Scholar

[20]

V. Lakshmikantham, D. Bainov and P. Simeonov, Theory of Impulsive Differential Equations Series in Modern Applied Mathematics, 6. World Scientific Publishing Co. , Inc. , Teaneck, NJ, 1989. doi: 10.1142/0906.  Google Scholar

[21]

X. Li and M. Bohner, An impulsive delay differential inequality and applications, Comput. Math. Appl., 64 (2012), 1875-1881.  doi: 10.1016/j.camwa.2012.03.013.  Google Scholar

[22]

X. Li and X. Fu, On the global exponential stability of impulsive functional differential equations with infinite delays or finite delays, Commun. Nonlinear Sci. Numer. Simul., 19 (2014), 442-447.  doi: 10.1016/j.cnsns.2013.07.011.  Google Scholar

[23]

Y. Mishura, Stochastic Calculus for Fractional Brownian Motion and Related Topics Lecture Notes in Mathematics, 1929. Springer-Verlag, Berlin, 2008. doi: 10.1007/978-3-540-75873-0.  Google Scholar

[24]

D. Nualart, The Malliavin Calculus and Related Topics, 2nd ed. Probability and its Applications (New York). Springer-Verlag, Berlin, 2006.  Google Scholar

[25]

A. Pazy, Semigroups of Linear Operators and Applications to Partial Differential Equations. Applied Mathematical Sciences, 44. Springer-Verlag, New York, 1983. doi: 10.1007/978-1-4612-5561-1.  Google Scholar

[26]

M. PierriD. O'Regan and V. Rolnik, Existence of solutions for semi-linear abstract differential equations with not instantaneous impulses, Appl. Math. Comp., 219 (2013), 6743-6749.  doi: 10.1016/j.amc.2012.12.084.  Google Scholar

[27]

R. Sakthivel and J. Luo, Asymptotic stability of impulsive stochastic partial differential equations with infinite delays, J. Math. Anal. Appl., 356 (2009), 1-6.  doi: 10.1016/j.jmaa.2009.02.002.  Google Scholar

[28]

A. M. Samoilenko and N. A. Perestyuk, Impulsive Differential Equations World Scientific, Singapore 1995. doi: 10.1142/9789812798664.  Google Scholar

[29]

G. Shen and Y. Ren, Neutral stochastic partial differential equations with delay driven by Rosenblatt process in a Hilbert space, J. Korean Statist. Soc., 44 (2015), 123-133.  doi: 10.1016/j.jkss.2014.06.002.  Google Scholar

[30]

T. Taniguchi, Successive approximations to solutions of stochastic differential equations, J. Differential Equations, 96 (1992), 152-169.  doi: 10.1016/0022-0396(92)90148-G.  Google Scholar

[31]

S. TindelC. Tudor and F. Viens, Stochastic evolution equations with fractional Brownian motion, Probab. Theory Related Fields, 127 (2003), 186-204.  doi: 10.1007/s00440-003-0282-2.  Google Scholar

[32]

J. R. WangY. Zhou and Z. Lin, On a new class of impulsive fractional differential equations, Appl. Math. Comput., 242 (2014), 649-657.  doi: 10.1016/j.amc.2014.06.002.  Google Scholar

[33]

Z. Yan and X. Yan, Existence of solutions for impulsive partial stochastic neutral integro-differential equations with state-dependent delay, Collect. Math., 64 (2013), 235-250.  doi: 10.1007/s13348-012-0063-2.  Google Scholar

[34]

Q. Zhu, Asymptotic stability in the $p$th moment for stochastic differential equations with Levy noise, J. Math. Anal. Appl., 416 (2014), 126-142.  doi: 10.1016/j.jmaa.2014.02.016.  Google Scholar

show all references

References:
[1]

H. M. Ahmed, Semilinear neutral fractional stochastic integro-differential equations with nonlocal conditions, J. Theoret. Probab., 28 (2015), 667-680.  doi: 10.1007/s10959-013-0520-1.  Google Scholar

[2]

E. AlosO. Mazet and D. Nualart, Stochastic calculus with respect to Gaussian processes, Ann. Probab., 29 (2001), 766-801.  doi: 10.1214/aop/1008956692.  Google Scholar

[3]

C. Avramescu, Some remarks on a fixed point theorem of Krasnoselskii, Electron. J. Qual. Theory Differ. Equ., 5 (2003), 1-15.   Google Scholar

[4]

J. Bao and Z. Hou, Existence of mild solutions to stochastic neutral partial functional differential equations with non-Lipschitz coefficients, Comput. Math. Appl., 59 (2010), 207-214.  doi: 10.1016/j.camwa.2009.08.035.  Google Scholar

[5]

I. Bihari, A generalization of a lemma of Bellman and its application to uniqueness problems of differential equations, Acta Math. Acad. Sci. Hungar., 7 (1956), 81-94.  doi: 10.1007/BF02022967.  Google Scholar

[6]

A. BoudaouiT. Caraballo and A. Ouahab, Existence of mild solutions to stochastic delay evolution equations with a fractional Brownian motion and impulses, Stoch. Anal. Appl., 33 (2015), 244-258.  doi: 10.1080/07362994.2014.981641.  Google Scholar

[7]

A. BoudaouiT. Caraballo and A. Ouahab, Impulsive stochastic functional differential inclusions driven by a fractional Brownian motion with infinite delay, Math. Meth. Appl. Sci., 39 (2016), 1435-1451.  doi: 10.1002/mma.3580.  Google Scholar

[8]

A. BoudaouiT. Caraballo and A. Ouahab, Impulsive neutral functional differential equations driven by a fractional Brownian motion with unbounded delay, Appl. Anal., 95 (2016), 2039-2062.  doi: 10.1080/00036811.2015.1086756.  Google Scholar

[9]

B. Boufoussi and S. Hajji, Neutral stochastic functional differential equations driven by a fractional Brownian motion in a Hilbert space, Statist. Probab. Lett., 82 (2012), 1549-1558.  doi: 10.1016/j.spl.2012.04.013.  Google Scholar

[10]

G. CaoK. He and X. Zhang, Successive approximations of infinite dimensional SDES with jump, Stoch. Dyn., 5 (2005), 609-619.  doi: 10.1142/S0219493705001584.  Google Scholar

[11]

T. CaraballoM. J. Garrido-Atienza and T. Taniguchi, The existence and exponential behavior of solutions to stochastic delay evolution equations with a fractional Brownian motion, Nonlinear Anal., 74 (2011), 3671-3684.  doi: 10.1016/j.na.2011.02.047.  Google Scholar

[12]

T. Caraballo, Mamadou A. Diop, Neutral stochastic delay partial functional integro-differential equations driven by a fractional Brownian motion, Front. Math. China, 8 (2013), 745-760.  doi: 10.1007/s11464-013-0300-3.  Google Scholar

[13]

M. M. El-BoraiK. EI-Said EI-Nadi and H. A. Fouad, On some fractional stochastic delay differential equations, Comput. Math. Appl., 59 (2010), 1165-1170.  doi: 10.1016/j.camwa.2009.05.004.  Google Scholar

[14]

G. R. Gautam and J. Dabas, Existence result of fractional functional integrodifferential equation with not instantaneous impulse, Int. J. Adv. Appl. Math. Mech, 1 (2014), 11-21.   Google Scholar

[15]

T. E. Govindan, Almost sure exponential stability for stochastic neutral partial functional differential equations, Stochastics, 77 (2005), 139-154.  doi: 10.1080/10451120512331335181.  Google Scholar

[16]

J. R. Graef, J. Henderson and A. Ouahab, Impulsive Differential Inclusions. A Fixed Point Approach De Gruyter Series in Nonlinear Analysis and Applications, 20. De Gruyter, Berlin, 2013. doi: 10.1515/9783110295313.  Google Scholar

[17]

J. K. Hale and J. Kato, Phase space for retarded equations with infinite delay, Funkcial. Ekvac., 21 (1978), 11-41.   Google Scholar

[18]

E. Hernández and D. O'Regan, On a new class of abstract impulsive differential equations, Proc. Amer. Math. Soc., 141 (2013), 1641-1649.  doi: 10.1090/S0002-9939-2012-11613-2.  Google Scholar

[19]

F. Jiang and Y. Shen, A note on the existence and uniqueness of mild solutions to neutral stochastic partial functional differential equations with non-Lipschitz coefficients, Comput. Math. Appl., 61 (2011), 1590-1594.  doi: 10.1016/j.camwa.2011.01.027.  Google Scholar

[20]

V. Lakshmikantham, D. Bainov and P. Simeonov, Theory of Impulsive Differential Equations Series in Modern Applied Mathematics, 6. World Scientific Publishing Co. , Inc. , Teaneck, NJ, 1989. doi: 10.1142/0906.  Google Scholar

[21]

X. Li and M. Bohner, An impulsive delay differential inequality and applications, Comput. Math. Appl., 64 (2012), 1875-1881.  doi: 10.1016/j.camwa.2012.03.013.  Google Scholar

[22]

X. Li and X. Fu, On the global exponential stability of impulsive functional differential equations with infinite delays or finite delays, Commun. Nonlinear Sci. Numer. Simul., 19 (2014), 442-447.  doi: 10.1016/j.cnsns.2013.07.011.  Google Scholar

[23]

Y. Mishura, Stochastic Calculus for Fractional Brownian Motion and Related Topics Lecture Notes in Mathematics, 1929. Springer-Verlag, Berlin, 2008. doi: 10.1007/978-3-540-75873-0.  Google Scholar

[24]

D. Nualart, The Malliavin Calculus and Related Topics, 2nd ed. Probability and its Applications (New York). Springer-Verlag, Berlin, 2006.  Google Scholar

[25]

A. Pazy, Semigroups of Linear Operators and Applications to Partial Differential Equations. Applied Mathematical Sciences, 44. Springer-Verlag, New York, 1983. doi: 10.1007/978-1-4612-5561-1.  Google Scholar

[26]

M. PierriD. O'Regan and V. Rolnik, Existence of solutions for semi-linear abstract differential equations with not instantaneous impulses, Appl. Math. Comp., 219 (2013), 6743-6749.  doi: 10.1016/j.amc.2012.12.084.  Google Scholar

[27]

R. Sakthivel and J. Luo, Asymptotic stability of impulsive stochastic partial differential equations with infinite delays, J. Math. Anal. Appl., 356 (2009), 1-6.  doi: 10.1016/j.jmaa.2009.02.002.  Google Scholar

[28]

A. M. Samoilenko and N. A. Perestyuk, Impulsive Differential Equations World Scientific, Singapore 1995. doi: 10.1142/9789812798664.  Google Scholar

[29]

G. Shen and Y. Ren, Neutral stochastic partial differential equations with delay driven by Rosenblatt process in a Hilbert space, J. Korean Statist. Soc., 44 (2015), 123-133.  doi: 10.1016/j.jkss.2014.06.002.  Google Scholar

[30]

T. Taniguchi, Successive approximations to solutions of stochastic differential equations, J. Differential Equations, 96 (1992), 152-169.  doi: 10.1016/0022-0396(92)90148-G.  Google Scholar

[31]

S. TindelC. Tudor and F. Viens, Stochastic evolution equations with fractional Brownian motion, Probab. Theory Related Fields, 127 (2003), 186-204.  doi: 10.1007/s00440-003-0282-2.  Google Scholar

[32]

J. R. WangY. Zhou and Z. Lin, On a new class of impulsive fractional differential equations, Appl. Math. Comput., 242 (2014), 649-657.  doi: 10.1016/j.amc.2014.06.002.  Google Scholar

[33]

Z. Yan and X. Yan, Existence of solutions for impulsive partial stochastic neutral integro-differential equations with state-dependent delay, Collect. Math., 64 (2013), 235-250.  doi: 10.1007/s13348-012-0063-2.  Google Scholar

[34]

Q. Zhu, Asymptotic stability in the $p$th moment for stochastic differential equations with Levy noise, J. Math. Anal. Appl., 416 (2014), 126-142.  doi: 10.1016/j.jmaa.2014.02.016.  Google Scholar

[1]

Christian Beck, Lukas Gonon, Martin Hutzenthaler, Arnulf Jentzen. On existence and uniqueness properties for solutions of stochastic fixed point equations. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020320

[2]

Siyang Cai, Yongmei Cai, Xuerong Mao. A stochastic differential equation SIS epidemic model with regime switching. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020317

[3]

Marc Homs-Dones. A generalization of the Babbage functional equation. Discrete & Continuous Dynamical Systems - A, 2021, 41 (2) : 899-919. doi: 10.3934/dcds.2020303

[4]

Reza Chaharpashlou, Abdon Atangana, Reza Saadati. On the fuzzy stability results for fractional stochastic Volterra integral equation. Discrete & Continuous Dynamical Systems - S, 2020  doi: 10.3934/dcdss.2020432

[5]

Lorenzo Zambotti. A brief and personal history of stochastic partial differential equations. Discrete & Continuous Dynamical Systems - A, 2021, 41 (1) : 471-487. doi: 10.3934/dcds.2020264

[6]

Yueyang Zheng, Jingtao Shi. A stackelberg game of backward stochastic differential equations with partial information. Mathematical Control & Related Fields, 2020  doi: 10.3934/mcrf.2020047

[7]

Bo Chen, Youde Wang. Global weak solutions for Landau-Lifshitz flows and heat flows associated to micromagnetic energy functional. Communications on Pure & Applied Analysis, 2021, 20 (1) : 319-338. doi: 10.3934/cpaa.2020268

[8]

Anh Tuan Duong, Phuong Le, Nhu Thang Nguyen. Symmetry and nonexistence results for a fractional Choquard equation with weights. Discrete & Continuous Dynamical Systems - A, 2021, 41 (2) : 489-505. doi: 10.3934/dcds.2020265

[9]

Fathalla A. Rihan, Hebatallah J. Alsakaji. Stochastic delay differential equations of three-species prey-predator system with cooperation among prey species. Discrete & Continuous Dynamical Systems - S, 2020  doi: 10.3934/dcdss.2020468

[10]

Yahia Zare Mehrjerdi. A new methodology for solving bi-criterion fractional stochastic programming. Numerical Algebra, Control & Optimization, 2020  doi: 10.3934/naco.2020054

[11]

Justin Holmer, Chang Liu. Blow-up for the 1D nonlinear Schrödinger equation with point nonlinearity II: Supercritical blow-up profiles. Communications on Pure & Applied Analysis, 2021, 20 (1) : 215-242. doi: 10.3934/cpaa.2020264

[12]

Peter Poláčik, Pavol Quittner. Entire and ancient solutions of a supercritical semilinear heat equation. Discrete & Continuous Dynamical Systems - A, 2021, 41 (1) : 413-438. doi: 10.3934/dcds.2020136

[13]

Serena Dipierro, Benedetta Pellacci, Enrico Valdinoci, Gianmaria Verzini. Time-fractional equations with reaction terms: Fundamental solutions and asymptotics. Discrete & Continuous Dynamical Systems - A, 2021, 41 (1) : 257-275. doi: 10.3934/dcds.2020137

[14]

Cheng He, Changzheng Qu. Global weak solutions for the two-component Novikov equation. Electronic Research Archive, 2020, 28 (4) : 1545-1562. doi: 10.3934/era.2020081

[15]

Hirokazu Ninomiya. Entire solutions of the Allen–Cahn–Nagumo equation in a multi-dimensional space. Discrete & Continuous Dynamical Systems - A, 2021, 41 (1) : 395-412. doi: 10.3934/dcds.2020364

[16]

Jiaquan Liu, Xiangqing Liu, Zhi-Qiang Wang. Sign-changing solutions for a parameter-dependent quasilinear equation. Discrete & Continuous Dynamical Systems - S, 2020  doi: 10.3934/dcdss.2020454

[17]

Thierry Cazenave, Ivan Naumkin. Local smooth solutions of the nonlinear Klein-gordon equation. Discrete & Continuous Dynamical Systems - S, 2020  doi: 10.3934/dcdss.2020448

[18]

Teresa D'Aprile. Bubbling solutions for the Liouville equation around a quantized singularity in symmetric domains. Communications on Pure & Applied Analysis, 2021, 20 (1) : 159-191. doi: 10.3934/cpaa.2020262

[19]

Leanne Dong. Random attractors for stochastic Navier-Stokes equation on a 2D rotating sphere with stable Lévy noise. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020352

[20]

Leilei Wei, Yinnian He. A fully discrete local discontinuous Galerkin method with the generalized numerical flux to solve the tempered fractional reaction-diffusion equation. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020319

2019 Impact Factor: 1.27

Metrics

  • PDF downloads (97)
  • HTML views (63)
  • Cited by (7)

[Back to Top]