Zeitschrift für Analysis und ihre Anwendungen
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Published online: 2009-06-30
Wong–Zakai Type Approximations for Stochastic Differential Equations Driven by a Fractional Brownian MotionConstantin Tudor (1) University of Bucharest, Romania
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.
Keywords: Fractional Brownian motion, Itô–Volterra equations, quadratic mean convergence, Wong–Zakai approximations
Tudor Constantin: Wong–Zakai Type Approximations for Stochastic Differential Equations Driven by a Fractional Brownian Motion. Z. Anal. Anwend. 28 (2009), 165-182. doi: 10.4171/ZAA/1378