Approximation of Stochastic Differential Equations with Modified Fractional Brownian Motion

被引：0

作者：

Grecksch, W. ^{[1
]}

Ahn, V. V. ^{[2
]}

机构：

[1] Univ Halle Wittenberg, Fachbereich Math & Informat, Inst Optimierung & Stochast, D-06099 Halle, Saale, Germany

[2] Queensland Univ Technol, Ctr Stat Sci & Ind Math, Brisbane, Qld 4001, Australia

来源：

ZEITSCHRIFT FUR ANALYSIS UND IHRE ANWENDUNGEN | 1998年 / 17卷 / 03期

基金：

澳大利亚研究理事会;

关键词：

Modified fractional Brownian motion; splitting method; stochastic integral; epsilon-optimal control;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The modified fractional Brownian motion is a special semimartingale. This stochastic process is suitable for studying the phenomenon of long-range dependence in a wide range of fields. This paper introduces stochastic differential equations with respect to modified fractional Brownian motion. The solution of these equations is approximated by a splitting method whose convergence in probability is proved. An application of this method to determine epsilon-optimal controls for a stochastic control problem is also given.

引用

页码：715 / 727

页数：13

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