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

• Datum: 2010
• Hauptverfasser: Ral’chenko, K. V., Shevchenko, H. M., Ральченко, К. В., Шевченко, Г. М.
• Format: Artikel
• Sprache: Ukrainisch; Englisch
• Veröffentlicht: Institute of Mathematics, NAS of Ukraine 2010
• Online Zugang: https://umj.imath.kiev.ua/index.php/umj/article/view/2952
• Назва журналу: 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.