A Support Theorem for Stochastic Differential Equations Driven by a Fractional Brownian Motion

被引：1
|
作者：
Xu, Jie [1 ]
Sun, Yanhua [1 ]
Ren, Jie [2 ]
机构：
[1] Henan Normal Univ, Coll Math & Informat Sci, Xinxiang 453007, Henan, Peoples R China
[2] Henan Univ Econ & Laws, Coll Math & Informat Sci, Zhengzhou 450002, Henan, Peoples R China
来源：
JOURNAL OF THEORETICAL PROBABILITY | 2023年 / 36卷 / 02期
关键词：
Support theorem; Ito-Volterra equations; Fractional Brownian motion; WONG-ZAKAI APPROXIMATIONS; LIMIT-THEOREMS; CONVERGENCE; SDES;
D O I：
10.1007/s10959-022-01186-w
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper we prove a support theorem for a class of Ito-Volterra equations related to the fractional Brownian motion. The simplified method developed by Millet and Sanz-Sole plays an important role.
引用
收藏
页码：728 / 761
页数：34
相关论文
共 50 条
  • [31] On the non-Lipschitz stochastic differential equations driven by fractional Brownian motion
    Pei, Bin
    Xu, Yong
    [J]. ADVANCES IN DIFFERENCE EQUATIONS, 2016,
  • [32] Parameter Estimation for Stochastic Differential Equations Driven by Mixed Fractional Brownian Motion
    Song, Na
    Liu, Zaiming
    [J]. ABSTRACT AND APPLIED ANALYSIS, 2014,
  • [33] Hurst Index Estimation in Stochastic Differential Equations Driven by Fractional Brownian Motion
    Jan Gairing
    Peter Imkeller
    Radomyra Shevchenko
    Ciprian Tudor
    [J]. Journal of Theoretical Probability, 2020, 33 : 1691 - 1714
  • [34] Nonlocal stochastic integro-differential equations driven by fractional Brownian motion
    Cui, Jing
    Wang, Zhi
    [J]. ADVANCES IN DIFFERENCE EQUATIONS, 2016,
  • [35] FRACTIONAL STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY G-BROWNIAN MOTION WITH DELAYS
    Saci, Akram
    Redjil, Amel
    Boutabia, Hacene
    Kebiri, Omar
    [J]. PROBABILITY AND MATHEMATICAL STATISTICS-POLAND, 2023, 43 (01): : 1 - 21
  • [36] Spectral Collocation Method for Stochastic Differential Equations Driven by Fractional Brownian Motion
    He, Jie
    Xing, Zhuo
    Guo, Qian
    [J]. FLUCTUATION AND NOISE LETTERS, 2023, 22 (03):
  • [37] Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
    Neuenkirch, Andreas
    [J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2008, 118 (12) : 2294 - 2333
  • [38] On local linearization method for stochastic differential equations driven by fractional Brownian motion
    Araya, Hector
    Leon, Jorge A.
    Torres, Soledad
    [J]. STOCHASTIC ANALYSIS AND APPLICATIONS, 2021, 39 (01) : 55 - 90
  • [39] EXISTENCE AND MEASUREABILITY OF THE SOLUTION OF THE STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION
    Naghshineh, O.
    Zangeneh, B. Z.
    [J]. BULLETIN OF THE IRANIAN MATHEMATICAL SOCIETY, 2009, 35 (02) : 47 - 68
  • [40] SOME MODELS OF CAUSALITY AND STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION
    Petrovic, Ljiljana
    Dimitrijevic, Sladana
    [J]. FACTA UNIVERSITATIS-SERIES MATHEMATICS AND INFORMATICS, 2005, 20 : 113 - 122
12345