Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations

被引：0

作者：

Ral'chenko K.V. ^{[1
]}

Shevchenko H.M. ^{[1
]}

机构：

[1] Shevchenko Kyiv National University, Kyiv

来源：

Ukrainian Mathematical Journal | 2011年 / 62卷 / 9期

关键词：

Brownian Motion; Gaussian Process; Stochastic Differential Equation; Besov Space; Fractional Brownian Motion;

D O I：

10.1007/s11253-011-0442-y

中图分类号：

学科分类号：

摘要：

We prove a general theorem on the convergence of solutions of stochastic differential equations. As a corollary, we obtain a result concerning the convergence of solutions of stochastic differential equations with absolutely continuous processes to a solution of an equation with Brownian motion. © 2011 Springer Science+Business Media, Inc.

引用

页码：1460 / 1475

页数：15

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