JournalszaaVol. 28, No. 2pp. 165–182

Wong–Zakai Type Approximations for Stochastic Differential Equations Driven by a Fractional Brownian Motion

  • Constantin Tudor

    University of Bucharest, Romania
Wong–Zakai Type Approximations for Stochastic Differential Equations Driven by a Fractional Brownian Motion cover
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Abstract

We consider Wong–Zakai type approximations for a class of Itô–Volterra equations related to the fractional Brownian motion. The quadratic mean convergence, uniformly on compact time intervals, of the approximations to the solution of an Itô–Volterra equation with a modified drift is obtained.

Cite this article

Constantin Tudor, Wong–Zakai Type Approximations for Stochastic Differential Equations Driven by a Fractional Brownian Motion. Z. Anal. Anwend. 28 (2009), no. 2, pp. 165–182

DOI 10.4171/ZAA/1378