Approximations of Fractional Stochastic Differential Equations by Means of Transport Processes
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Publication:2787485
zbMath1331.60064arXiv1102.5067MaRDI QIDQ2787485
Johanna Garzón, Jorge A. Leon, Louis G. Gorostiza
Publication date: 4 March 2016
Full work available at URL: https://arxiv.org/abs/1102.5067
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Related Items (7)
Strong approximations of Brownian sheet by uniform transport processes ⋮ An explicit solution to the Skorokhod embedding problem for double exponential increments ⋮ On the strong convergence of multiple ordinary integrals to multiple Stratonovich integrals ⋮ The complex Brownian motion as a strong limit of processes constructed from a Poisson process ⋮ On local linearization method for stochastic differential equations driven by fractional Brownian motion ⋮ Rate of convergence of uniform transport processes to a Brownian sheet ⋮ Numerical scheme for stochastic differential equations driven by fractional Brownian motion with \(1/4 < H < 1/2\).
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