Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness

DOI10.15559/16-VMSTA69MaRDI QIDQ502544zbMATH OpenFDO

Authors Oussama El Barrimi, Youssef Ouknine

Publication date 5 January 2017

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1701.01244

zbMATH Keywords

fractional Brownian motionstochastic differential equationspathwise uniqueness

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: Our aim in this paper is to establish some strong stability properties of a solution of a stochastic differential equation driven by a fractional Brownian motion for which the pathwise uniqueness holds. The results are obtained using Skorokhod's selection theorem.

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Cites work

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Cited in

(8)

• scientific article; zbMATH DE number 7781218 (Why is no real title available?)
• Pathwise uniqueness of solutions of SDE in a fractional Brownian environment
• Some stability results for semilinear stochastic heat equation driven by a fractional noise
• A remark on the mean square distance between the solutions of fractional SDEs and Brownian SDEs
• Stochastic differential equations driven by fractional Brownian motion
• scientific article; zbMATH DE number 5260706 (Why is no real title available?)
• On moment estimates and continuity for solutions of SDEs driven by fractional Brownian motions under non-Lipschitz conditions
• Euler approximation and stability of the solution to stochastic differential equations with jumps under pathwise uniqueness

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