Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion
type: Item
instance of: scholarly article
title: Wong-Zakai type approximations for stochastic differential equations driven by a fractional Brownian motion
zbMATH Open document ID: 1161.60320
DOI: 10.4171/ZAA/1378
author: Constantin Tudor
published in: Zeitschrift für Analysis und ihre Anwendungen
publication date: 2009-05-05T00:00:00Z
full work available at URL: http://www.ems-ph.org/journals/show_pdf.php
review text: Summary: We consider Wong-Zakai type approximations for a class of Itô-Volterra equations related to the fractional Brownian motion. The quadratic mean convergence, uniformly on compact time intervals, of the approximations to the solution of an Itô-Volterra equation with a modified drift is obtained.
Mathematics Subject Classification ID: 60H07
zbMATH DE Number: 5550892
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: Itô-Volterra equations
zbMATH Keywords: quadratic mean convergence
zbMATH Keywords: Wong-Zakai approximations
MaRDI profile type: Publication
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OpenAlex ID: W1993534986
description: scientific article; zbMATH DE number 5550892