On local linearization method for stochastic differential equations driven by fractional Brownian motion

DOI10.1080/07362994.2020.1779746MaRDI QIDQ4964410zbMATH OpenOpenAlexFDO

Authors Héctor Araya, Soledad Torres, Jorge A. Leon

Publication date 2 March 2021

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07362994.2020.1779746

zbMATH Keywords

fractional Brownian motionlocal linearizationstochastic differential equationTaylor theoremYoung integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

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Cited in

(10)

• An explicit method for the self-interacting diffusion driven by fractional Brownian motion under global Lipschitz conditions
• Development of a fractional Wiener-Hermite expansion for analyzing the fractional stochastic models
• scientific article; zbMATH DE number 5983913 (Why is no real title available?)
• Approximation of continuous time stochastic processes by a local linearization method
• Local linear estimator for stochastic differential equations driven by \(\alpha\)-stable Lévy motions
• Stochastic differential equations driven by fractional Brownian motion with locally Lipschitz drift and their implicit Euler approximation
• scientific article; zbMATH DE number 7294848 (Why is no real title available?)
• Precise local estimates for differential equations driven by fractional Brownian motion: elliptic case
• Truncated Euler–Maruyama method for stochastic differential equations driven by fractional Brownian motion with super-linear drift coefficient
• Exact linearization of one dimensional Itô equations driven by fBm: Analytical and numerical solutions

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