Approximation of stochastic differential equations driven by fractional Brownian motion

被引：0

作者：

Lisei, Hannelore ^{[1
]}

Soos, Anna ^{[1
]}

机构：

[1] Univ Babes Bolyai, Fac Math & Comp Sci, Cluj Napoca 400084, Romania

来源：

SEMINAR ON STOCHASTIC ANALYSIS, RANDOM FIELDS AND APPLICATIONS V | 2008年 / 59卷

关键词：

stochastic differential equations; approximation; fractional Brownian motion;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The aim of this paper is to approximate the solution of a stochastic differential equation driven by fractional Brownian motion (with Hurst index greater than 1/2) using a series expansion for the noise. We prove that the solution of the approximating equations converge in probability to the solution of the given equation. We illustrate the approximation through an example from mathematical finance.

引用

页码：227 / 241

页数：15

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