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arXiv · 1503.00328

Nonlinear Young integrals via fractional calculus

Yaozhong Hu·Khoa Le
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Abstract

For H\"older continuous functions $W(t,x)$ and $\varphi_t$, we define nonlinear integral $\int_a^b W(dt, \varphi_t)$ via fractional calculus. This nonlinear integral arises naturally in the Feynman-Kac formula for stochastic heat equations with random coefficients. We also define iterated nonlinear integrals.

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Yaozhong Hu, Khoa Le. 2015-03-01. Nonlinear Young integrals via fractional calculus. https://doi.org/10.1007/978-3-319-23425-0

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