Approximation of stochastic differential equations with modified fractional Brownian motion (Q1267977)

The paper introduces stochastic differential equations with respect to some modified fractional Brownian motion. The resulting stochastic process is used for studying the phenomenon of long-range dependence in a wide range of fields. A splitting up method is developed to approximate the solution of the corresponding stochastic differential equation. Also an application to stochastic control problems is given.