A support theorem for stochastic differential equations driven by a fractional Brownian motion

DOI10.1007/s10959-022-01186-wWikidataQ113901052 ScholiaQ113901052MaRDI QIDQ6103735

Jie Xu, Jie Ren, Yanhua Sun

Publication date: 5 June 2023

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionsupport theoremItô-Volterra equations

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Strong limit theorems (60F15)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Strong convergence of Wong-Zakai approximations of reflected SDEs in a multidimensional general domain
• Support theorem for stochastic variational inequalities
• On approximate continuity and the support of reflected stochastic differential equations
• Wong-Zakai approximations of backward doubly stochastic differential equations
• Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion
• Approximation of stochastic differential equations with modified fractional Brownian motion
• Stochastic analysis of the fractional Brownian motion
• Abstract nonlinear filtering theory in the presence of fractional Brownian motion
• Limit theorems and the support of SDES with oblique reflections on nonsmooth domains
• Support theorem for stochastic differential equations with Sobolev coefficients
• On the relation between ordinary and stochastic differential equations
• Limit Theorems for Stochastic Differential Equations with Discontinuous Coefficients
• The Malliavin Calculus and Related Topics
• Quasi-sure analysis of two-parameter stochastic differential equations
• On the Convergence of Ordinary Integrals to Stochastic Integrals