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

  • K. V. Ral’chenko
  • H. M. Shevchenko

Abstract

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.
Published
25.09.2010
How to Cite
Ral’chenko, K. V., and H. M. Shevchenko. “Approximation of Solutions of Stochastic Differential Equations With Fractional Brownian Motion by Solutions of Random Ordinary Differential Equations”. Ukrains’kyi Matematychnyi Zhurnal, Vol. 62, no. 9, Sept. 2010, pp. 1256–1268, https://umj.imath.kiev.ua/index.php/umj/article/view/2952.
Section
Research articles