Stochastic differential equations driven by a Wiener process and fractional Brownian motion: convergence in Besov space with respect to a parameter

DOI10.1016/j.camwa.2011.02.032zbMath1228.60067OpenAlexW2062177420MaRDI QIDQ651606

Yuliya S. Mishura, S. V. Posashkova

Publication date: 18 December 2011

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2011.02.032

zbMATH Keywords

Besov spaceWiener processfractional Brownian motionmixed stochastic differential equationcontinuous dependence on a parameter

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Fractional ordinary differential equations (34A08)

Related Items (11)

Exponential stability for neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion ⋮ Rate of convergence of Euler approximation of time-dependent mixed SDEs driven by Brownian motions and fractional Brownian motions ⋮ Exponential synchronization for stochastic neural networks driven by fractional Brownian motion ⋮ Averaging principles for mixed fast-slow systems driven by fractional Brownian motion ⋮ Mixed stochastic differential equations: averaging principle result ⋮ The existence, uniqueness, and controllability of neutral stochastic delay partial differential equations driven by standard Brownian motion and fractional Brownian motion ⋮ Weak convergence for a class of stochastic fractional equations driven by fractional noise ⋮ Stability of stochastic differential equation with linear fractal noise ⋮ Existence and uniqueness for solutions of mixed stochastic delay differential equations ⋮ Existence and exponential stability in the \(p\)th moment for impulsive neutral stochastic integro-differential equations driven by mixed fractional Brownian motion ⋮ Stability of a class of impulsive neutral stochastic functional partial differential equations

Cites Work

• Integration with respect to fractal functions and stochastic calculus. I
• Differential equations driven by fractional Brownian motion
• Stochastic calculus for fractional Brownian motion and related processes.
• The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion
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