Approximation of stochastic differential equations with modified fractional Brownian motion

DOI10.4171/ZAA/846MaRDI QIDQ1267977zbMATH OpenOpenAlexFDO

Authors Vo V. Anh, Wilfried Grecksch

Publication date 3 October 1999

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

Full work available at URL https://doi.org/10.4171/zaa/846

zbMATH Keywords

discrete time approximationfractional Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multivariable systems, multidimensional control systems (93C35)

Review text

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.

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Cites work

• Existence and uniqueness theorems for fBm stochastic differential equations
• Fractional Brownian Motions, Fractional Noises and Applications
• scientific article; zbMATH DE number 54145 (Why is no real title available?)
• scientific article; zbMATH DE number 140583 (Why is no real title available?)
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• Stochastic analysis of fractional brownian motions

Cited in

(7)

• Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion
• Stochastic modified Boussinesq approximate equation driven by fractional Brownian motion
• Approximation of stochastic differential equations driven by step fractional Brownian motion
• Approximation of stochastic Hammerstein integral equation with fractional Brownian motion input
• On local linearization method for stochastic differential equations driven by fractional Brownian motion
• scientific article; zbMATH DE number 5174058 (Why is no real title available?)
• A support theorem for stochastic differential equations driven by a fractional Brownian motion

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