Wavelet approximation of the solutions of some stochastic differential equations

MaRDI QIDQ5290074zbMATH OpenFDO

Authors Anna Soós, Hannelore Lisei

Publication date 26 April 2006

zbMATH Keywords

Brownian motionstochastic integral

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Sample path properties (60G17) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical solutions to stochastic differential and integral equations (65C30)

Recommendations

• Approximation of stochastic differential equations driven by fractional Brownian motion
• Approximation of solutions of SDE driven by multifractional Brownian motion
• Approximation of stochastic differential equations driven by step fractional Brownian motion
• Approximation of stochastic differential equation driven by fractional Brownian motion
• Approximation of stochastic Hammerstein integral equation with fractional Brownian motion input

Cited in

(7)

• Approximation of stochastic differential equations with modified fractional Brownian motion
• Wavelets Galerkin method for solving stochastic heat equation
• Simultaneaous approximation of a family of (stochastic) differential equations
• Rate of wavelet approximation of stochastic processes
• An approximate approach to fractional stochastic integration and its applications
• scientific article; zbMATH DE number 1894459 (Why is no real title available?)
• Approximation of solutions of SDE driven by multifractional Brownian motion

This page was built for publication: Wavelet approximation of the solutions of some stochastic differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5290074)