Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations

DOI10.1007/s11253-011-0442-yzbMath1240.60161OpenAlexW1985968255MaRDI QIDQ3013847

Kostiantyn Ralchenko, Georgiy M. Shevchenko

Publication date: 18 July 2011

Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11253-011-0442-y

zbMATH Keywords

stochastic differential equationfractional Brownian motionapproximation

Mathematics Subject Classification ID

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

Related Items (2)

On pricing and hedging in financial markets with long-range dependence ⋮ Approximation of fractional Brownian motion by martingales

This page was built for publication: Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations