Approximation of stochastic Hammerstein integral equation with fractional Brownian motion input

DOI10.1515/MCMA.1999.5.4.311zbMath0942.65008OpenAlexW1964534054MaRDI QIDQ4937408

Wilfried Grecksch, V. V. Anh

Publication date: 21 August 2000

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.1999.5.4.311

zbMATH Keywords

error estimatesfractional Brownian motionsecond-order stochastic differential equationmean-square approximationstochastic Hammerstein integral equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)

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