Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations
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.
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| Date: | 2010 |
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| Main Authors: | , , , |
| Format: | Article |
| Language: | Ukrainian English |
| Published: |
Institute of Mathematics, NAS of Ukraine
2010
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/2952 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
| Download file: |  |