Weak solution of stochastic differential equations with fractional diffusion coefficient

DOI10.1080/07362994.2018.1434005zbMath1401.60118OpenAlexW2792602551MaRDI QIDQ4685691

Fuke Wu, Hao Yang, Peter E. Kloeden

Publication date: 9 October 2018

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2018.1434005

zbMATH Keywords

weak convergenceweak solutionstochastic differential equationsmartingale representationfractional diffusion coefficient

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (4)

Existence and transportation inequalities for fractional stochastic differential equations ⋮ Existence of weak solutions for stochastic nonlinear impulsive systems ⋮ Continuous feedback stabilization for a class of affine stochastic nonlinear systems ⋮ A fractional Bihari inequality and some applications to fractional differential equations and stochastic equations

Cites Work

• Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching
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• A study of a class of stochastic differential equations with non-Lipschitzian coefficients
• A Theory of the Term Structure of Interest Rates
• Modeling and Simulating Chemical Reactions
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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