Approximation of stochastic differential equations with modified fractional Brownian motion

DOI10.4171/ZAA/846zbMath0922.60052OpenAlexW2053215446MaRDI QIDQ1267977

V. V. Anh, Wilfried Grecksch

Publication date: 3 October 1999

Published in: Zeitschrift für Analysis und ihre Anwendungen (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4171/zaa/846

zbMATH Keywords

fractional Brownian motiondiscrete time approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Multivariable systems, multidimensional control systems (93C35)

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A support theorem for stochastic differential equations driven by a fractional Brownian motion ⋮ On local linearization method for stochastic differential equations driven by fractional Brownian motion ⋮ Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion

Cites Work

• Existence and uniqueness theorems for fBm stochastic differential equations
• Stochastic analysis of fractional brownian motions
• Fractional Brownian Motions, Fractional Noises and Applications
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