Approximation of stochastic differential equations with modified fractional Brownian motion (Q1267977)
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scientific article; zbMATH DE number 1211548
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation of stochastic differential equations with modified fractional Brownian motion |
scientific article; zbMATH DE number 1211548 |
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Approximation of stochastic differential equations with modified fractional Brownian motion (English)
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3 October 1999
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The paper introduces stochastic differential equations with respect to some modified fractional Brownian motion. The resulting stochastic process is used for studying the phenomenon of long-range dependence in a wide range of fields. A splitting up method is developed to approximate the solution of the corresponding stochastic differential equation. Also an application to stochastic control problems is given.
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fractional Brownian motion
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discrete time approximation
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