Stochastic differential equations for fractional Brownian motions

DOI10.1016/S0764-4442(00)01594-9zbMath0981.60040OpenAlexW1979083211MaRDI QIDQ4511648

Laure Coutin, Zhongmin Qian

Publication date: 14 March 2002

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0764-4442(00)01594-9

zbMATH Keywords

stochastic differential equationsdyadic approximationsfractional Brownian motion with Hurst parameterWong-Zakai-type approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Self-similar stochastic processes (60G18)

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