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Wong–Zakai Type Approximations for Stochastic Differential Equations Driven by a Fractional Brownian Motion
| Content Provider | Semantic Scholar |
|---|---|
| Author | Tudor, Constantin |
| Copyright Year | 2009 |
| Abstract | The approximation of SDE’s of Itô type (a.s. or in mean square) by ordinary Riemann–Stieltjes equations is considered by Ikeda–Watanabe [6], Karatzas– Shreve [7], Wong–Zakai [9,10]. It is known that if we replace the Brownian motion in the stochastic differential by some smooth approximation (such as linear interpolation, mollifier, etc.), then the solution of the approximating equation converges (a.s. or in mean square) to the Stratonovich form of the original equation. In the present paper we consider a class of Itô–Volterra equations of the form |
| Starting Page | 165 |
| Ending Page | 182 |
| Page Count | 18 |
| File Format | PDF HTM / HTML |
| DOI | 10.4171/ZAA/1378 |
| Volume Number | 28 |
| Alternate Webpage(s) | https://www.ems-ph.org/journals/show_pdf.php?iss=2&issn=0232-2064&rank=2&vol=28 |
| Alternate Webpage(s) | https://doi.org/10.4171/ZAA%2F1378 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
