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

• Date: 2010
• Main Authors: Ral’chenko, K. V., Shevchenko, H. M., Ральченко, К. В., Шевченко, Г. М.
• Format: Article
• Language: Ukrainian; English
• Published: Institute of Mathematics, NAS of Ukraine 2010
• Online Access: https://umj.imath.kiev.ua/index.php/umj/article/view/2952
• Journal Title: Ukrains’kyi Matematychnyi Zhurnal

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.