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

DOI10.15559/16-VMSTA69zbMATH Open1355.60073arXiv1701.01244MaRDI QIDQ502544FDOQ502544

Authors: Oussama El Barrimi, Youssef Ouknine 

Publication date: 5 January 2017

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

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.

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

Recommendations

• EXISTENCE OF STRONG SOLUTIONS AND UNIQUENESS IN LAW FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION
• Approximation of stochastic differential equations driven by fractional Brownian motion
• Stochastic differential equations driven by fractional Brownian motion
• Stability of stochastic differential equations driven by multifractional Brownian motion
• Pathwise uniqueness of solutions of SDE in a fractional Brownian environment

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)

Cites Work

• The Malliavin Calculus and Related Topics
• Fractional Brownian Motions, Fractional Noises and Applications
• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic analysis of the fractional Brownian motion
• Regularization of differential equations by fractional noise.
• Seminar on probability XXXII
• Strong existence and higher order Fréchet differentiability of stochastic flows of fractional Brownian motion driven SDEs with singular drift

Cited In (8)

• 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
• Title not available (Why is that?)
• 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
• Title not available (Why is that?)

This page was built for publication: Approximation of solutions of SDEs driven by a fractional Brownian motion, under pathwise uniqueness

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q502544)