Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion

DOI10.4171/ZAA/1378zbMath1161.60320OpenAlexW1993534986MaRDI QIDQ1016434

Constantin Tudor

Publication date: 5 May 2009

Published in: Zeitschrift für Analysis und ihre Anwendungen (Search for Journal in Brave)

Full work available at URL: http://www.ems-ph.org/journals/show_pdf.php?issn=0232-2064&vol=28&iss=2&rank=2

zbMATH Keywords

fractional Brownian motionWong-Zakai approximationsItô-Volterra equationsquadratic mean convergence

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

A support theorem for stochastic differential equations driven by a fractional Brownian motion ⋮ Wong-Zakai type approximations of rough random dynamical systems by smooth noise ⋮ Wong–Zakai approximations with convergence rate for stochastic partial differential equations ⋮ Implicit Milstein method for stochastic differential equations via the Wong-Zakai approximation

Cites Work

• Approximation of stochastic differential equations with modified fractional Brownian motion
• Stochastic analysis of the fractional Brownian motion
• Abstract nonlinear filtering theory in the presence of fractional Brownian motion
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
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