Approximation of stochastic Hammerstein integral equation with fractional Brownian motion input

DOI10.1515/MCMA.1999.5.4.311MaRDI QIDQ4937408zbMATH OpenOpenAlexFDO

Authors Wilfried Grecksch, Vo 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 motionmean-square approximationsecond-order stochastic differential equationstochastic Hammerstein integral equation

Mathematics Subject Classification ID

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

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Cited in

(2)

• Wavelet approximation of the solutions of some stochastic differential equations
• Wong-Zakai approximation of stochastic Volterra integral equations

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