Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion (Q1016434): Difference between revisions
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Latest revision as of 10:51, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion |
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Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion (English)
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5 May 2009
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Summary: We consider Wong-Zakai type approximations for a class of Itô-Volterra equations related to the fractional Brownian motion. The quadratic mean convergence, uniformly on compact time intervals, of the approximations to the solution of an Itô-Volterra equation with a modified drift is obtained.
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fractional Brownian motion
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Itô-Volterra equations
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quadratic mean convergence
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Wong-Zakai approximations
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