Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion (Q1016434)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion |
scientific article; zbMATH DE number 5550892
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion |
scientific article; zbMATH DE number 5550892 |
Statements
Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion (English)
0 references
5 May 2009
0 references
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.
0 references
fractional Brownian motion
0 references
Itô-Volterra equations
0 references
quadratic mean convergence
0 references
Wong-Zakai approximations
0 references
0 references
0.8505483865737915
0 references
0.8500097990036011
0 references
0.8390830755233765
0 references
0.8343973755836487
0 references
