Wong–Zakai approximations for quasilinear systems of Itô's-type stochastic differential equations driven by fBm with H > 1 2

DOI10.1142/s0219025723500224arXiv2111.05230OpenAlexW4385782059MaRDI QIDQ6187609

Ramiro Scorolli

Publication date: 15 January 2024

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2111.05230

zbMATH Keywords

Fokker-Planck equationfractional Brownian motionWick productstochastic differential equationsmultiplicative noiseWong-Zakai approximationItô calculusmultidimensional Wiener processCameron-Martin expansion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

Cites Work

• Wong-Zakai approximations for quasilinear systems of Itô's type stochastic differential equations
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Gaussian Hilbert Spaces
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Itô type stochastic differential equations driven by fractional Brownian motions of Hurst parameter
• Stochastic Calculus for Fractional Brownian Motion and Applications
• On the Convergence of Ordinary Integrals to Stochastic Integrals
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